Fixed-smoothing asymptotics in a two-step generalized method of moments framework
Year of publication: |
November 2014
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Authors: | Sun, Yixiao |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 82.2014, 6, p. 2327-2370
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Subject: | F distribution | fixed-smoothing asymptotics | heteroskedasticity and au-tocorrelation robustness | increasing-smoothing asymptotics | noncentral F test | two-step GMM estimation | Theorie | Theory | Momentenmethode | Method of moments | Heteroskedastizität | Heteroscedasticity | Robustes Verfahren | Robust statistics | Statistischer Test | Statistical test |
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