摘要
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.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2007年第9期157-160,F0003,共5页
Journal of Quantitative & Technological Economics