Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models.
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using the generalized method of moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wal...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Taylor&Francis
2005
|