A generalized focused information criterion for GMM
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than attempting to identify the “true” specification, the GFIC chooses from a set of potentially misspecified moment conditions and...
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Wiley
2018
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