Inference for iterated GMM under misspecification

DOI10.3982/ECTA16274zbMATH Open1481.62026OpenAlexW3157891102MaRDI QIDQ5860144FDOQ5860144

Authors: Bruce E. Hansen, Seojeong Lee 

Publication date: 18 November 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta16274

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zbMATH Keywords

covariance matrix estimationgeneralized method of momentsmisspecificationoveridentification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Economic growth models (91B62)

Cited In (12)

• Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
• Indirect inference estimation of dynamic panel data models
• Inference in dynamic discrete choice problems under local misspecification
• A comparison of testing and estimation of firm conduct
• EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
• Examining bias in estimators of linear rational expectations models under misspecification
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• Robust inference for moment condition models without rational expectations
• A doubly corrected robust variance estimator for linear GMM
• Sensitivity analysis using approximate moment condition models
• GMM and misspecification correction for misspecified models with diverging number of parameters
• Finite-sample corrected inference for two-step GMM in time series

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