Finite-sample corrected inference for two-step GMM in time series
Year of publication: |
2023
|
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Authors: | Hwang, Jungbin ; Valdés, Gonzalo |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 234.2023, 1, p. 327-352
|
Subject: | Generalized method of moments | Heteroskedasticity autocorrelated robust | Finite-sample correction | Fixed-smoothing asymptotics | t and F tests | Momentenmethode | Method of moments | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Statistischer Test | Statistical test |
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