Finite-sample corrected inference for two-step GMM in time series

DOI10.1016/j.jeconom.2021.12.007OpenAlexW3003898858MaRDI QIDQ2697990

Gonzalo Valdés, Jungbin Hwang

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.12.007

zbMATH Keywords

generalized method of momentsfixed-smoothing asymptoticsfinite-sample correction\(t\) and \(F\) testsheteroskedasticity autocorrelated robust

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• xtabond2

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• A theory of robust long-run variance estimation
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• Controlling the size of autocorrelation robust tests
• A jackknife interpretation of the continuous updating estimator
• Simple and trustworthy cluster-robust GMM inference
• Asymptotic F tests under possibly weak identification
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
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• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
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• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• GMM with Weak Identification
• Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
• Long-Run Covariability
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• HAC ESTIMATION BY AUTOMATED REGRESSION

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