Finite Sample Inference for GMM Estimators in Linear Panel Data Models.
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using the generalized method of moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wal...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
IFS
2002
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