GMM آزموني بهين براي فرضيه تعادل در چارچوب تخمين ژنهاي روش گشتاورهاي تعميم يافته

An Optimal Test For Equilibrium Hypothesis in Framework of GMM.

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.