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...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Journal article |
| اللغة: | English |
| منشور في: |
Elsevier
2001
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