Simple and powerful GMM over-identification tests with accurate size
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Publication:738121
DOI10.1016/j.jeconom.2011.09.039zbMath1441.62881OpenAlexW2112262946MaRDI QIDQ738121
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.039
long-run varianceover-identification testrobust standard error\(F\)-distributionheteroscedasticity and autocorrelation robustseries estimator
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
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