Bruce E. Hansen
"Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions" (2006)
Econometric Theory and Practice, (2006), edited by Dean Corbae, Steven N. Durlauf, and Bruce E. Hansen

Program and Data Files

This program calculates the statistics described in the above paper.

The program estimates a linear regression model and tests a nonlinear hypothesis on the parameters using the GMM distance statistic.

Gauss Programs and Data

Matlab Programs and Data

Link to Abstract and PDF File of Paper

Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.