Criterion-based inference for GMM in autoregressive panel-data models.

Criterion-based inference for GMM in autoregressive panel-data models.

Čájet eará veršuvnnaid (3)

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...

Bibliográfalaš dieđut
Váldodahkkit:	Bond, S, Bowsher, C, Windmeijer, F
Materiálatiipa:	Journal article
Giella:	English
Almmustuhtton:	Elsevier 2001

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