A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework

Joaquim J. S. Ramalho

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A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework

机译：矩量法通用框架中用于获得替代Wald和得分统计的检验统计方程

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In this article 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.

机译：在本文中，我们导出了一个测试统计量生成方程式（TSGE），可以从中获得一些适用于测试由广义矩量法（GMM）估计的模型中的参数限制的统计量。该统计数据具有三个主要特征：有效地生成适合于测试以非常通用的形式表示的约束条件的统计数据，该统计数据不仅可能涉及感兴趣的参数，而且还包括令人讨厌的参数的向量； GMM文献中提出的某些测试是TSGE的特殊情况；可以在任何一致且渐近正态估计器上进行评估。

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《Applied Financial Economics Letters》 |2009年第6期|489-494|共6页
作者
Joaquim J. S. Ramalho;
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Departamento de Economia, Universidade de Evora, Largo dos Colegiais 2, 7000-803 EVORA, Portugal;

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机译：矩量法通用框架中用于获得替代Wald和得分统计的检验统计方程
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A test statistic equation for obtaining alternative Wald and score statistics in the generalized method of moments framework

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