GMM Flashcards
1
Q
Define the J-Test Statistic.
A
2
Q
What are the distributions of the J-Test Statistics under H1 and H0?
A
3
Q
Define a Bootstrap GMM Estimator.
A
4
Q
Define a Bootstrap Specification Test for a GMM Estimator.
A
5
Q
Define a Wald test statistic for a transformation of the parameter estimated using GMM. Where does the Test Converge?
A
6
Q
Define a GMM distance statistic for parameter specification.
A
7
Q
What is the asymptotic variance of the GMM estimator?
A
8
Q
Define the Optimal weight for a GMME.
A
9
Q
Define the GMME optimal Instrument given conditional moment restriction.
A
10
Q
What is the Variance of the Optimal IV estimator
A
Slide 50
11
Q
What is the optimal IV estimator in Method of Moments?
A
Slide 49
12
Q
What is the formula for G and Variance in an optimal IV setting?
A
Slide 45
