A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models

DOI10.1016/J.ECONLET.2012.04.058zbMATH Open1255.62068OpenAlexW1970527510MaRDI QIDQ694940FDOQ694940

Authors: Eric S. Lin, Ta-Sheng Chou 

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.058

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zbMATH Keywords

Bayesian bootstrap

Mathematics Subject Classification ID

Bayesian inference (62F15) General nonlinear regression (62J02)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Inference Under Heteroskedasticity and Leveraged Data
• Asymptotic inference under heteroskedasticity of unknown form
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap

Cited In (1)

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

Uses Software

• Stata
• ivreg2

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