AN OPTIMAL TEST FOR EQUILIBRIUM HYPOTHESIS IN FRAMEWORK
OF GMM.

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KESHAVARZ HADAD GH.R.; EBADI J.

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Journal: Iranian Journal of Trade Studies Year:2001 | Volume:5 | Issue:19 Page(s): 1-48

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Information Journal Paper

Title

AN OPTIMAL TEST FOR EQUILIBRIUM HYPOTHESIS IN FRAMEWORK OF GMM.

Author(s)

KESHAVARZ HADAD GH.R. | EBADI J. | Issue Writer Certificate

Keywords

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Abstract

This research, which is based on theoretical and empirical findings of H.Hwang (1980), who formulated equilibrium hypothesis as stability of parameters in a reduced form equation, and Donald W.K. Andrews (1996), who introduced test statistics like sup W(.), sup LM(.) and sup LR(.) for parameter stability hypothesis testing against alternatives, appropriate test statistics for equilibrium hypothesis are derived. In the calculation of estimators and statistics GMM are used. Our findings confirm that, for our data from agricultural sector of Iran and the considered period of time (1961- 1996), null hypothesis is rejected by sup W(.) as well as CUSUM test. But the power of the latter in comparison with the former is considerable.

Cites

STABILITY TESTS IN ECONOMETRICS AND THEIR APPLICATIONS

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APA: Copy

KESHAVARZ HADAD, GH.R., & EBADI, J.. (2001). AN OPTIMAL TEST FOR EQUILIBRIUM HYPOTHESIS IN FRAMEWORK OF GMM.. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 5(19), 1-48. SID. https://sid.ir/paper/7391/en

Vancouver: Copy

KESHAVARZ HADAD GH.R., EBADI J.. AN OPTIMAL TEST FOR EQUILIBRIUM HYPOTHESIS IN FRAMEWORK OF GMM.. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2001;5(19):1-48. Available from: https://sid.ir/paper/7391/en

IEEE: Copy

GH.R. KESHAVARZ HADAD, and J. EBADI, “AN OPTIMAL TEST FOR EQUILIBRIUM HYPOTHESIS IN FRAMEWORK OF GMM.,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 5, no. 19, pp. 1–48, 2001, [Online]. Available: https://sid.ir/paper/7391/en

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