Bond, Steve; Nauges, Céline; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005
consider, and discusses (under)identification in
the unit root case for both Generalised Method of Moments (GMM) and Maximum … Method of Moments, Identification, Unit Root
Tests
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Acknowledgments: We would like to thank Min Ahn, Manuel Arellano …-tests based on ordinary least squares estimators perform particularly well.
JEL Classification: C12, C23
Key Words: Generalised …