GMM tests for the Katz family of distributions
نویسنده
چکیده
Generalized method of moments (GMM) is used to develop tests for discriminating discrete distributions among the two-parameter family of Katz distributions. Relationships involving moments are exploited to obtain identifying and over-identifying restrictions. The asymptotic relative e5ciencies of tests based on GMM are analyzed using the local power approach and the approximate Bahadur e5ciency. The paper also gives results of Monte Carlo experiments designed to check the validity of the theoretical 9ndings and to shed light on the small sample properties of the proposed tests. Extensions of the results to compound Poisson alternative hypotheses are discussed. c © 2001 Elsevier Science B.V. All rights reserved.
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