Identification‐ and singularity‐robust inference for moment condition models
نویسندگان
چکیده
منابع مشابه
Robust small sample accurate inference in moment condition models
Procedures based on the Generalized Method of Moments (GMM) (Hansen, 1982) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic distribution does not provide accurate p-values and confidence intervals in moderate to small samples. Moreov...
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GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kern...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2019
ISSN: 1759-7323
DOI: 10.3982/qe1219