Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form

DOI10.1080/07474938.2014.999499MaRDI QIDQ5034236zbMATH OpenOpenAlexFDO

Authors Eric S. Lin, Ta-Sheng Chou

Publication date 24 February 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.999499

zbMATH Keywords

GMMnonlinear modelEicker-White HCCME

Mathematics Subject Classification ID

General nonlinear regression (62J02) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Recommendations

• Asymptotic inference under heteroskedasticity of unknown form
• Heteroskedasticity-robust inference in finite samples
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 3346000 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Adapting for heteroscedasticity in linear models
• An improved generalized moments estimator for a spatial moving average error model
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Asymptotic inference under heteroskedasticity of unknown form
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Estimating Heteroscedastic Variances in Linear Models
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
• Handbook of econometrics. Vol. 4
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-robust inference in linear regressions
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Inference Under Heteroskedasticity and Leveraged Data
• Jackknifing in Unbalanced Situations
• Large Sample Properties of Generalized Method of Moments Estimators
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Second order approximation in a linear regression with heteroskedasticity of unknown form
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Cited in

(3)

• How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
• Elementary functions modified for seasonal effects to describe growth in freshwater fish
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models

Describes a project that uses

Uses Software

• ivreg2

This page was built for publication: Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5034236)