A new class of tests for overidentifying restrictions in moment condition models
نویسندگان
چکیده
منابع مشابه
Tests for Overidentifying Restrictions in Factor-Augmented VAR Models
This paper develops tests for overidentifying restrictions in Factor-Augmented Vector Autoregressive (FAVAR) models. The FAVAR combines a high-dimensional factor model and a conventional VAR for the latent factors. The identification of structural shocks in FAVAR can lead to restrictions on the factor loadings of many variables, so it can involve infinitely many identifying restrictions as the ...
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هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...
15 صفحه اولTesting a Subset of the Overidentifying Restrictions
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The primary focus of this article is the provision of tests for additional conditional moment constraints in cross-section or short panel data contexts. The principal contribution is the explicit incorporation of conditional moment restrictions defining the maintained hypothesis in the formulation of the test statistics thus mirroring that of the classical parametric likelihood setting by defin...
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The conventional Sargan (1958) / Hansen (1982) test of overidentifying restrictions and the Tilting Parameter test of Imbens, Spady and Johnson (1998) are compared in the context of the AR(1) dynamic panel data model using Monte Carlo experiments. Interestingly, the size properties of the former are found to be superior in this setting. Nevertheless, the Sargan / Hansen test is found to have no...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2019
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2019.1697085