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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
