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...

Повний опис

Бібліографічні деталі
Автори: Bond, S, Bowsher, C, Windmeijer, F
Формат: Journal article
Мова:English
Опубліковано: Elsevier 2001