Bond, Steve; Nauges, Céline; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005
Method of Moments, Identification, Unit Root
Tests
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Acknowledgments: We would like to thank Min Ahn, Manuel Arellano … consider, and discusses (under)identification in
the unit root case for both Generalised Method of Moments (GMM) and Maximum …