Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework
Jungbin Hwang, Yixiao Sun
| Year of publication: |
2018
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|---|---|
| Authors: | Hwang, Jungbin ; Sun, Yixiao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 207.2018, 2, p. 381-405
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| Subject: | Asymptotic mixed normality | Fixed-smoothing asymptotics | Heteroskedasticity and autocorrelation | Nonstandard asymptotics | Two-step GMM estimation | Momentenmethode | Method of moments | Heteroskedastizität | Heteroscedasticity | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116364