Criterion-based inference for GMM in autoregressive panel-data models.
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton a...
| Hauptverfasser: | , , |
|---|---|
| Format: | Journal article |
| Sprache: | English |
| Veröffentlicht: |
Elsevier
2001
|