Size matters: covariance matrix estimation under the alternative

DOI10.1111/j.1368-423X.2007.00225.xzbMath1127.62120OpenAlexW2100811430MaRDI QIDQ5433627

Jason Allen

Publication date: 9 January 2008

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00225.x

zbMATH Keywords

poweroveridentifying restrictionsgeneralized mehtod of moments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Point estimation (62F10) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Finite sample properties of test of Epstein-Zin asset pricing model
• Automatic Lag Selection in Covariance Matrix Estimation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Information Theoretic Approaches to Inference in Moment Condition Models
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

This page was built for publication: Size matters: covariance matrix estimation under the alternative