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

DOI10.1016/J.JECONOM.2021.12.007MaRDI QIDQ2697990zbMATH OpenOpenAlexFDO

Authors Jungbin Hwang, Gonzalo Valdés

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

\(t\) and \(F\) testsfinite-sample correctionfixed-smoothing asymptoticsgeneralized method of momentsheteroskedasticity autocorrelated robust

Mathematics Subject Classification ID

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

Recommendations

• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Sample sensitivity for two-step and continuous updating GMM estimators
• TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS
• Asymptotic efficiency of semiparametric two-step GMM
• Fixed-smoothing asymptotics in a two-step generalized method of moments framework
• Bootstrapping GMM estimators for time series
• Two-step series estimation of sample selection models
• Two-step estimation for time varying ARCH models
• Inference for iterated GMM under misspecification

Cites work

• A finite sample correction for the variance of linear efficient two-step GMM estimators
• A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
• A jackknife interpretation of the continuous updating estimator
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A theory of robust long-run variance estimation
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
• Asymptotic F tests under possibly weak identification
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Controlling the size of autocorrelation robust tests
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Fixed-smoothing asymptotics in a two-step generalized method of moments framework
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GMM with Weak Identification
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• HAC ESTIMATION BY AUTOMATED REGRESSION
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Large Sample Properties of Generalized Method of Moments Estimators
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Long-run covariability
• On size and power of heteroskedasticity and autocorrelation robust tests
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
• Simple and trustworthy cluster-robust GMM inference

Describes a project that uses

Uses Software

• xtabond2

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