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

DOI10.1016/J.ECONLET.2012.04.058MaRDI QIDQ694940zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian bootstrap

Mathematics Subject Classification ID

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

Recommendations

• Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
• Bayesian and non-Bayesian solutions to analysis of covariance models under heteroscedasticity
• Bayesian Models for Non‐linear Autoregressions
• A Bayesian Approach to Nonlinear Random Effects Models
• GMM, maximum likelihood, and nonparametric efficiency
• Bayesian inference for the mixed conditional heteroskedasticity model
• Bayesian Analysis of DSGE Models—Some Comments

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• Estimating Heteroscedastic Variances in Linear Models
• 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

Cited in

(1)

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

Describes a project that uses

Uses Software

• ivreg2
• Stata

This page was built for publication: A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q694940)