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Sheng-Kai Chang
''The asymptotic global power comparisons of the GMM overidentifying restrictions tests''
( 2007, Vol. 3 No.44 )
In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the consistent mean deviation variance-covariance matrix estimator is more powerful than the test with the conventional non-mean deviation one. The results shed new light on the findings of Chang (2005) and Hall (2000).
Keywords: Approximate Slopes Overidentifying Restrictions Test.
JEL: C1 - Econometric and Statistical Methods: General
C5 - Econometric Modeling: General
Manuscript Received : Sep 18 2007 Manuscript Accepted : Sep 18 2007

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