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- W3125024191 abstract "This paper considers two-step efficient GMM estimation and inference where the weighting matrix and asymptotic variance matrix are based on the series long run variance estimator. We propose a simple and easy-to-implement modification to the trinity of test statistics in the two-step efficient GMM setting and show that the modified test statistics are all asymptotically F distributed under the so-called fixed-smoothing asymptotics. The modification is multiplicative and involves the J statistic for testing over-identifying restrictions. This leads to convenient asymptotic F tests that use standard F critical values. Simulation shows that, in terms of both size and power, the asymptotic F tests perform as well as the nonstandard tests proposed recently by Sun (2014b) in finite samples. But the F tests are more appealing as the critical values are readily available from standard statistical tables. Compared to the conventional chi-square tests, the F tests are as powerful, but are much more accurate in size." @default.
- W3125024191 created "2021-02-01" @default.
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- W3125024191 date "2015-08-18" @default.
- W3125024191 modified "2023-09-25" @default.
- W3125024191 title "Asymptotic F and t Tests in an Efficient GMM Setting" @default.
- W3125024191 hasPublicationYear "2015" @default.
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