Improving consistent moment selection procedures for generalized method of moments estimation

DOI10.1016/J.ECONLET.2006.11.011zbMATH Open1255.62088OpenAlexW2096885788MaRDI QIDQ1934071FDOQ1934071

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

zbMATH Keywords

consistent moment selectiontest of over-identifying restrictionstest of subset of over-identifying restrictions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10)

Cites Work

• Title not available (Why is that?)
• 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
• 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 (3)

• 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

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