Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test

By A. Hall. 2000

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7a3b8d766ae792ef537c54304bf5c6133f26fb5c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ken West
2. Nour Meddahi
3. B. Hansen
4. A. Inoue
5. C. Bontemps
6. A. Hall
7. Mikhail Chernov
8. Shinya Tanaka

In Finance

1. Nour Meddahi
2. A. Inoue
3. Ken West
4. B. Hansen
5. C. Bontemps
6. A. Hall
7. Mikhail Chernov
8. Xu Han

In Management Science and Operations Research

1. A. Inoue
2. Ken West
3. B. Hansen
4. C. Bontemps
5. Nour Meddahi
6. Mikhail Chernov
7. Xu Han
8. Yohei Yamamoto

Citations in the corpus

• The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models (2003, methodology): “Subject to certain other regularity conditions, Hall (2000) establishes that θ̂T p→ θ∗.”
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models (2013, unknown): “The following proposition extends the results for GMM under misspecification in Hall (2000) and Hall and Inoue (2003), as it is established under the discontinuity of the moment functions.”
• Testing for Factor Loading Structural Change under Common Breaks (2015, background): “Hall (2000) documents the case of the overidenti cation restrictions test.”
• Testing Distributional Assumptions: A GMM Approach (2007, methodology): “This connection was used by Hansen and Scheinkman (1995), Aı̈t-Sahalia (1996) and by Conley, Hansen, Luttmer and Scheinkman (1997), in order to model the short term interest rate whose marginal distribution are among the class of the generalized Pearson’s distributions of Cobb, Koppstein and Chen (1”
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS (2013, background): “Hall (2000) shows that if the HAC estimates are not correctly demeaned, then the HAC estimator is asymptotically equivalent to the sum of two matrices: one of these matrices is positive definite and O(1); the other is positive semidefinite and diverges at the rate of the bandwidth parameter.”
• Risk-Adjusting the Returns to Venture Capital (2015, unknown): “While not necessary under the null hypothesis, doing so tends to lead to greater power of the test under misspecification (Hall (2000)).”
• Generalized Method of Moments and Macroeconomics (2002, methodology): “Focusing on the test for overidentifying restrictions, Hall (2000) observed that whereas gt4‚05 is mean zero under the null hypothesis of correct speciŽ cation, it has a non-zero mean under the alternative hypothesis of misspeciŽ cation. Thus conventional HAC estimators b ìƒ1, which are based on aut”
• Empirical reverse engineering of the pricing kernel (2003, background): “16 These results are available in Appendix D. 17 Please refer to Den Haan and Levin (1997), Hall (2000), Hansen et al. (1996) for general treatment and to Chernov (2000) for the details of this particular application.”