A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework
نویسنده
چکیده
In this paper we derive a test statistic generating equation (TSGE) from which several statistics suitable for testing parametric restrictions in models estimated by the generalized method of moments (GMM) may be obtained. This statistic presents three main features: it is valid for producing statistics appropriate for testing constraints expressed in very general forms, which may involve not only the parameters of interest but also a vector of nuisance parameters; some of the tests proposed in the GMM literature are special cases of the TSGE; it can be evaluated at any consistent and asymptotically normal estimator.
منابع مشابه
Comparison of Wald, Score, and Likelihood Ratio Tests for Response Adaptive Designs
Data collected from response adaptive designs are dependent. Traditional statistical methods need to be justified for the use in response adaptive designs. This paper generalizes the Rao’s score test to response adaptive designs and introduces a generalized score statistic. Simulation is conducted to compare the statistical powers of the Wald, the score, the generalized score and the likelihood...
متن کاملCompetition In Iran’s Banking Sector: Panzar-Rosse Approach
The Iranian banking sector has undergone huge and substantial reform in the last decade; privatization, establishment of private banks and development of modern technologies (IT). This paper investigates the competitive condition of the Iranian banking industry over the period 2005-2010 using the H-statistic proposed by Panzar and Rosse. The properties of this non-structural methodology make it...
متن کاملRobust statistical tests of genetic association for the case- control study design
1 The central theme in case-control genetic association studies is to efficiently identify genetic markers associated with case-control status. Powerful statistical methods are critical to accomplishing this goal. A popular statistical method is the model-free Pearson's chi-square test. To achieve increased power, model-based tests have been widely used despite their lack of robustness to model...
متن کاملClassical Inference with ML and GMM Estimates with Various Rates of Convergence
This paper considers classical hypothesis testing in the maximum likelihood (ML) and generalized method of moments (GMM) frameworks, where components of unconstrained (and constrained) estimates of a model may have various rates of convergence and their limiting distributions are asymptotically normally distributed. Sufficient conditions are established under which the likelihood ratio, efficie...
متن کاملScore Statistics for Current Status Data: Comparisons with Likelihood Ratio and Wald Statistics
In this paper we introduce three natural “score statistics” for testing the hypothesis that F (t0) takes on a fixed value in the context of nonparametric inference with current status data. These three new test statistics have natural intepretations in terms of certain (weighted) L2 distances, and are also connected to natural “one-sided” scores. We compare these new test statistics with an ana...
متن کامل