Small-sample properties of GMM-based wald tests

Craig Burnside, Martin Eichenbaum

Research output: Contribution to journalArticlepeer-review

48 Scopus citations

Abstract

This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the spectral-density matrix of the residuals. Estimators of this matrix that impose restrictions implied by the model or the null hypothesis substantially improve the properties of the Wald statistics.

Original languageEnglish (US)
Pages (from-to)294-308
Number of pages15
JournalJournal of Business and Economic Statistics
Volume14
Issue number3
DOIs
StatePublished - Jul 1996

Keywords

  • Automated bandwidth selection
  • Business-cycle model
  • Monte Carlo simulation
  • Spectral-density matrix

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Small-sample properties of GMM-based wald tests'. Together they form a unique fingerprint.

Cite this