Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
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Publication:4530995
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- Size matters: covariance matrix estimation under the alternative
- Shrinkage of variance for minimum distance based tests
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Empirical reverse engineering of the pricing kernel.
- Score tests in GMM: why use implied probabilities?
- Simple and trustworthy cluster-robust GMM inference
- Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
- Sample sensitivity for two-step and continuous updating GMM estimators
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Size distortion in the analysis of volatility and covolatility effects
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
- Optimal Predictive Tests
- Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
- Simple and powerful GMM over-identification tests with accurate size
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Detection of structural breaks in linear dynamic panel data models
- Testing with exponentially tilted empirical likelihood
- Over-identified doubly robust identification and estimation
- Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
- Correcting the bias of the sample cross‐covariance estimator
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
- A doubly corrected robust variance estimator for linear GMM
- Sieve semiparametric two-step GMM under weak dependence
- Testing for factor loading structural change under common breaks
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
- Tests for parameter instability in dynamic factor models
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Panel data models with multiple time-varying individual effects
- Powerful tests for structural changes in volatility
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