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

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

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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...

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ग्रंथसूची विवरण
मुख्य लेखकों: Bond, S, Bowsher, C, Windmeijer, F
स्वरूप: Journal article
भाषा:English
प्रकाशित: Elsevier 2001
Search Result 1
Criterion-based inference for GMM in autoregressive panel-data models.

Criterion-based inference for GMM in autoregressive panel-data models. द्वारा Bond, S, Bowsher, C, Windmeijer, F

प्रकाशित 2001
Working paper
Search Result 2
Criterion-Based Inference for GMM in Autoregressive Panel Data Models.

Criterion-Based Inference for GMM in Autoregressive Panel Data Models. द्वारा Bond, S, Bowsher, C, Windmeijer, F

प्रकाशित 2001
Working paper
Search Result 3
Criterion-Based Inference for GMM in Autoregressive Panel Data Models.

Criterion-Based Inference for GMM in Autoregressive Panel Data Models. द्वारा Bond, S, Bowsher, C, Windmeijer, F

प्रकाशित 2001
Journal article
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