Inference on conditional moment restriction models with generated variables

DOI10.1016/j.econlet.2022.110454OpenAlexW4221102598MaRDI QIDQ2158354

Taisuke Otsu, Ryo Kimoto

Publication date: 26 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110454

zbMATH Keywords

GMMconditional moment restrictiongenerated variable

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Econometric Issues in the Analysis of Regressions with Generated Regressors
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Specification testing with estimated variables

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