A separability result for gmm estimation, with applications to gls prediction and conditional moment tests

DOI10.1080/07474939508800301MaRDI QIDQ4853086zbMATH OpenOpenAlexFDO

Authors

Publication date 27 February 1996

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939508800301

zbMATH Keywords

conditional moment testsgeneralized method of moments estimatesprediction

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Cites work

• A time series analysis of representative agent models of consumption and leisure choice under uncertainty
• An Efficient Method of Moments Estimator for Discrete Choice Models With Choice-Based Sampling
• Diagnostic testing and evaluation of maximum likelihood models
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Efficiency Bounds for Semiparametric Regression
• Generalized method of moments specification testing
• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Panel Data and Unobservable Individual Effects
• Simultaneous equations with covariance restrictions
• The use of dummy variables to compute predictions, prediction errors, and confidence intervals

Cited in

(13)

• Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
• Redundancy of moment conditions
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Moment redundancy test with application to efficiency-improving copulas
• GMM inference when the number of moment conditions in large
• Panel data regression for counts
• GMM redundancy results for general missing data problems
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Minimum distance estimation of the errors-in-variables model using linear cumulant equations
• Concentration ellipsoids, their planes of support, and the linear regression model
• GMM estimation of linear panel data models with time-varying individual effects
• Efficient estimation with missing data and endogeneity
• Testing the fit of data and external sets via an imprecise Sargan-Hansen test

This page was built for publication: A separability result for gmm estimation, with applications to gls prediction and conditional moment tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4853086)