Shrinkage of Variance for Minimum Distance Based Tests

DOI10.1080/07474938.2014.944794zbMath1491.62194OpenAlexW2032626449MaRDI QIDQ5080513

Saraswata Chaudhuri, Eric Renault

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Shrinkage_of_Variance_for_Minimum_Distance_Based_Tests/1162893

zbMATH Keywords

entropyscore testGMMshrinkageimplied probabilities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30)

Related Items (1)

Score tests in GMM: why use implied probabilities?

Cites Work

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• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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