Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
From MaRDI portal
Publication:5034236
DOI10.1080/07474938.2014.999499zbMath1490.62168OpenAlexW2050145549MaRDI QIDQ5034236
Publication date: 24 February 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2014.999499
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) General nonlinear regression (62J02)
Related Items
Elementary functions modified for seasonal effects to describe growth in freshwater fish, How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Asymptotic inference under heteroskedasticity of unknown form
- A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- An improved generalized moments estimator for a spatial moving average error model
- A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
- Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
- Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
- Adapting for heteroscedasticity in linear models
- Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
- A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
- More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Estimating Heteroscedastic Variances in Linear Models
- Jackknifing in Unbalanced Situations
- Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
- Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
- Second order approximation in a linear regression with heteroskedasticity of unknown form
- Heteroskedasticity-Robust Inference in Linear Regressions
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Inference Under Heteroskedasticity and Leveraged Data
- More Efficient Tests Robust to Heteroskedasticity of Unknown Form
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Consistent Estimation of Models Defined by Conditional Moment Restrictions
- Handbook of econometrics. Vol. 4
