Asymptotic F and t tests in an efficient GMM setting

作者：Hwang, Jungbin; Sun, Yixiao^*

来源：Journal of Econometrics, 2017, 198(2): 277-295.

DOI：10.1016/j.jeconom.2017.02.003

• Efficient GMM
• F distribution
• Fixed-smoothing asymptotics
• Heteroskedasticity and autocorrelation robust
• t distribution
• Two-step GMM

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 whose critical values, i.e., the standard F critical values, are readily available from standard statistical tables and programming environments. For testing a single restriction with a one-sided alternative, an asymptotic t test theory using the standard t distribution as the reference distribution is also developed.

• 出版日期2017-6
• 单位武汉大学