| 过度识别约束广义矩估计检验的势 |
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| 引用本文： | 胡建华,郭鹏江,夏志明. 过度识别约束广义矩估计检验的势[J]. 山西师范大学学报：自然科学版, 2009, 23(3): 1-4 |
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| 作者姓名： | 胡建华 郭鹏江 夏志明 |
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| 作者单位： | 西北大学数学系,陕西,西安,710127 |
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| 摘 要： | 本文主要研究了过度识别约束下广义矩方法（GMM）估计两种形式的检验,并应用近似斜率的方法,对二者的势做了全局性比较．得出了在没有鞅的假定下,v阶自协方差矩阵估计检验的势大于”阶非中心化自协方差矩阵对应的势．它放松了文[1]中“鞅”假定的条件,推广了其结论．
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| 关 键 词： | 广义矩方法(GMM)估计 过度识别 势 |
The Power of the GMM Overidentifying Restrictions Tests |
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| HU Jian-hua,GUO Peng-jiang,XIA Zhi-ming. The Power of the GMM Overidentifying Restrictions Tests[J]. Journal of Shanxi Teachers University, 2009, 23(3): 1-4 |
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| Authors: | HU Jian-hua GUO Peng-jiang XIA Zhi-ming |
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| Affiliation: | (Department of Mathematics, Northwest University, xi＇an 710127, Shaanxi, China) |
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| Abstract: | In this paper, two versions of the Generalized Method of Moments（GMM） overidentifying restrictions tests was studied. And the concept of approximate slopes is employed to compare their power properties globally. Without the restrictions of the martingale difference assumption, it is found that the GMM overidentifying test with the v -class auto-covariance matrix is more powerful than the test using the v -class non-centering auto-covariance matrix one. |
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| Keywords: | GMM overindentifying power |
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