Statistics Seminar（2014-17）

Topic: A New Class of Tests for Overidentifying Restrictions

Speaker: Xuexin Wang, Xiamen University

Time: Thursday, 13 November, 14:00-15:30

Location: Room 217, Guanghua Building 2

Abstract: In this paper, we focus on the aspect of statistical inference of GMM, proposing a new class of tests for overidentifying restrictions. The new class of tests keeps a quadratic form, it is quite easy to compute, only a √nconsistent estimator is needed. This approach naturally incorporates the implied or empirical probabilities of GEL framwork and enjoys the high order optimality of GEL overidentifying tests asymptotically. Monte Carlo simulations demonstrate that the new class of tests has attactive finite sample properties.

About the speaker: Dr. Xuexin Wang received his PhD in Economics from Universidad Carlos III de Madrid in 2012. He is currently an Assistant Professor of Economics in the Wang Yanan Institute of Studies in Economics (WISE) at Xiamen University. Dr. Wang's research fields include Econometric Theory, Financial Econometrics and Applied Econometrics with focus on model specification testing, time series analysis and statistical inference in generalized method of moments.