Improving consistent moment selection procedures for generalized method of moments estimation
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Publication:1934071
DOI10.1016/J.ECONLET.2006.11.011zbMATH Open1255.62088OpenAlexW2096885788MaRDI QIDQ1934071FDOQ1934071
Authors: Jean-Bernard Chatelain 
Publication date: 28 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.11.011
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consistent moment selectiontest of over-identifying restrictionstest of subset of over-identifying restrictions
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Title not available (Why is that?)
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Order estimation in ARMA-models by Lagrangian multiplier tests
- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
Cited In (16)
- Robust small sample accurate inference in moment condition models
- Optimal bandwidth selection for robust generalized method of moments estimation
- Generalized method of moments and inverse control
- Information in generalized method of moments estimation and entropy-based moment selection
- Generalization of GMM to a continuum of moment conditions
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- A bootstrap approach to moment selection
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Moment and IV selection approaches: a comparative simulation study
- GEL criteria for moment condition models
- Method-of-moments estimation and choice of instruments: numerical computations
- The weighted method of moments approach for moment condition models
- Adaptive GMM shrinkage estimation with consistent moment selection
- Consistent Estimation of Models Defined by Conditional Moment Restrictions
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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