线性模型中的GMM距离检验及其与LR、LM和Wald检验的关系

GMM Distance Test and Its Relationships With LR, LM, Wald Tests in Linear Model

本文通过对线性模型中GMM距离检验的分析解读,阐释并证明了计量经济中的三大检验LR、LM和Wald检验可视为GMM检验的特殊情况,从而说明了GMM距离检验是更一般化的检验方法并有着广泛的应用价值。

This paper presents the GMM distance test and displays its usefulness by showing the relationship with LR, LM, Wald tests which are special cases of GMM test in some situations. That is to say, GMM test is a more general method of testing.