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...

Ful tanımlama

Detaylı Bibliyografya
Asıl Yazarlar: Bond, S, Bowsher, C, Windmeijer, F
Materyal Türü: Journal article
Dil:English
Baskı/Yayın Bilgisi: Elsevier 2001

Benzer Materyaller