A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
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Publication:4853086
DOI10.1080/07474939508800301zbMath0832.62046OpenAlexW1985424664MaRDI QIDQ4853086
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Publication date: 27 February 1996
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939508800301
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Point estimation (62F10)
Related Items (11)
GMM redundancy results for general missing data problems ⋮ Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation ⋮ Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model ⋮ Efficient estimation with missing data and endogeneity ⋮ Minimum distance estimation of the errors-in-variables model using linear cumulant equations ⋮ GMM estimation of linear panel data models with time-varying individual effects ⋮ Moment redundancy test with application to efficiency-improving copulas ⋮ Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models ⋮ Panel data regression for counts ⋮ GENERALIZED INTEGER-VALUED AUTOREGRESSION ⋮ Redundancy of moment conditions
Cites Work
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Diagnostic testing and evaluation of maximum likelihood models
- Simultaneous equations with covariance restrictions
- Generalized method of moments specification testing
- The use of dummy variables to compute predictions, prediction errors, and confidence intervals
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- Panel Data and Unobservable Individual Effects
- Efficiency Bounds for Semiparametric Regression
- An Efficient Method of Moments Estimator for Discrete Choice Models With Choice-Based Sampling
- A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty
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