Examining bias in estimators of linear rational expectations models under misspecification
From MaRDI portal
Publication:291126
DOI10.1016/J.JECONOM.2007.11.004zbMATH Open1418.62478OpenAlexW3121263535MaRDI QIDQ291126FDOQ291126
Authors: Hervé Le Bihan, Eric Jondeau 
Publication date: 6 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.11.004
Recommendations
- Maximum Likelihood Estimation of Misspecified Models
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters
- Inference for iterated GMM under misspecification
- scientific article; zbMATH DE number 3923929
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- The Bias of Instrumental Variable Estimators
- Maximum Likelihood Estimation of Misspecified Models
- Instrumental Variables Regression with Weak Instruments
- Generalized method of moments specification testing
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- On the behavior of inconsistent instrumental variable estimators
- Redundancy of moment conditions
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Specification Tests in Econometrics
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- GMM with Weak Identification
- A New Specification Test for the Validity of Instrumental Variables
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Testing for Selectivity Bias in Panel Data Models
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Information in generalized method of moments estimation and entropy-based moment selection
- VAR-based estimation of Euler equations with an application to New Keynesian pricing
- A linear algebraic procedure for solving linear perfect foresight models
- The Solution of Linear Difference Models under Rational Expectations
- Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
Cited In (4)
- Estimating and testing rational expectations models when the trend specification is uncertain.
- Assessing large sample bias in misspecified model scenarios with reference to exposure model misspecification in errors-in-variable regression: a new computational approach
- A direction of bias result for the standard errors of a sequential least squares single equation rational expectations estimator
- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
This page was built for publication: Examining bias in estimators of linear rational expectations models under misspecification
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q291126)
