Improvement in finite-sample properties of GMM-based Wald tests

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	Improvement in finite-sample properties of GMM-based Wald tests
	Chen, Qihui ; Ren, Yu ; Ren Y(任宇)
刊名	http://dx.doi.org/10.1007/s00180-012-0326-0
	2013
关键词	MOMENTS ESTIMATORS GENERALIZED-METHOD
英文摘要	Xiamen University; Natural Science Foundation of Fujian Province of China [2011J01384]; Natural Science Foundation of China [71131008, 70971113]; GMM-based Wald tests tend to overreject when used for small samples, mainly due to inaccurate estimation of the weighting matrix. This article proposes applying the shrinkage method to address this problem. Using a possibly-misspecified factor model, the shrinkage method can provide a good estimator for the weighting matrix, and hence improve the finite-sample performance of the GMM-based Wald tests.
语种	英语
出版者	SPRINGER HEIDELBERG
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91518]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Chen, Qihui,Ren, Yu,Ren Y. Improvement in finite-sample properties of GMM-based Wald tests[J]. http://dx.doi.org/10.1007/s00180-012-0326-0,2013.
APA	Chen, Qihui,Ren, Yu,&任宇.(2013).Improvement in finite-sample properties of GMM-based Wald tests.http://dx.doi.org/10.1007/s00180-012-0326-0.
MLA	Chen, Qihui,et al."Improvement in finite-sample properties of GMM-based Wald tests".http://dx.doi.org/10.1007/s00180-012-0326-0 (2013).