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 restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based on the continuously-updated GMM criterion (1996) or exponen...

书目详细资料
Main Authors:	Bond, S, Bowsher, C, Windmeijer, F
格式:	Journal article
语言:	English
出版:	Elsevier 2001

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