Title
Testing Overidentifying Restrictions with Inefficient Estimators
Document Type
Article
Publication Date
1987
ISSN
1873-7374
Publisher
Elsevier
Language
en-US
Abstract
This note considers testing overidentifying restrictions with incorrect weights in a generalized method of moments framework. It is shown that the test statistic under a fairly general class of non-optimal weighting matrices can be decomposed asymptotically into the sum of a chi-squared random variable and an additional quadratic form. The decomposition is used to find the distribution of the statistic.
Recommended Citation
Keith N. Hylton,
Testing Overidentifying Restrictions with Inefficient Estimators
,
in
25
Economics Letters
43
(1987).
Available at:
https://doi.org/https://doi.org/10.1016/0165-1765(87)90011-5
