Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence
نویسندگان
چکیده
منابع مشابه
Asymptotic F Test in a GMM Framework
The paper develops a new and easy-to-use F test in a time series GMM framework that allows for general forms of serial dependence. The test is based on the Wald statistic with a multiplicative correction factor and employs critical values from a standard F distribution. The F critical values are high-order correct under the conventional asymptotics. Monte Carlo simulations show that the F test ...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2015
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00441