Neglected heterogeneity in moment condition models
Name
Newey_Neglected heterogeneity.pdf
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268.69 KB
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Adobe PDF
Checksum (MD5)
090d33269023b397684ec656794be4f2
Author(s)
Hahn, Jinyong
Smith, Richard J.
Newey, Whitney K
Date Issued
January 2014
Journal
Journal of Econometrics
Publisher
Elsevier
Citation
Hahn, Jinyong, Whitney K. Newey, and Richard J. Smith. “Neglected Heterogeneity in Moment Condition Models.” Journal of Econometrics 178 (2014): 86–100.
Version
Original manuscript
Abstract
The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal m-tests against its potential presence. We initially consider the unconditional moment restrictions framework. Optimal m-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained in terms of the second order own derivatives of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to optimal m-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context and the provision of a limited set of simulation experiments to illustrate the efficacy of the proposed tests.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-NonCommercial-NoDerivs License
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1016/j.jeconom.2013.08.009
