A note on a cross-sectional GMM estimator in the presence of an observable common shock

DOI10.1080/02331888.2020.1737867MaRDI QIDQ5222214zbMATH OpenOpenAlexFDO

Authors Serguey Khovansky, Oleksandr Zhylyevskyy

Publication date 1 April 2020

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2020.1737867

zbMATH Keywords

common data shockgeneralized method of momentssingle cross-section

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12)

Recommendations

• On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
• Cross-Section Regression with Common Shocks
• GMM estimation with cross sectional dependence
• GMM estimation and uniform subvector inference with possible identification failure
• Simple and trustworthy cluster-robust GMM inference

Cites work

• Cross-Section Regression with Common Shocks
• Estimation When a Parameter is on a Boundary
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 1076783 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock

Cited in

(2)

• On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
• Cross-Section Regression with Common Shocks

This page was built for publication: A note on a cross-sectional GMM estimator in the presence of an observable common shock

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222214)