Improving consistent moment selection procedures for generalized method of moments estimation

DOI10.1016/j.econlet.2006.11.011zbMath1255.62088OpenAlexW2096885788MaRDI QIDQ1934071

Jean-Bernard Chatelain

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.11.011

zbMATH Keywords

test of over-identifying restrictionsconsistent moment selectiontest of subset of over-identifying restrictions

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric estimation (62G05)

Related Items (1)

An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Order estimation in ARMA-models by Lagrangian multiplier tests
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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