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Consistent moment selection procedures for generalized method of moments estimation
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 3, pp. 543-564
Persistent link: https://www.econbiz.de/10001378219
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Generalized method of integrated moments for high-frequency data
Li, Jia; Xiu, Dacheng - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1613-1633
Persistent link: https://www.econbiz.de/10011611168
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Fixed-smoothing asymptotics in a two-step generalized method of moments framework
Sun, Yixiao - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 6, pp. 2327-2370
Persistent link: https://www.econbiz.de/10011560365
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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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Identifying latent structures in panel data
Su, Liangjun; Shi, Zhentao; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 6, pp. 2215-2264
Persistent link: https://www.econbiz.de/10011791226
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Testing for common conditionally heteroskedastic factors
Dovonon, Prosper; Renault, Eric - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 6, pp. 2561-2586
Persistent link: https://www.econbiz.de/10010237396
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Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 119-162
Persistent link: https://www.econbiz.de/10001647798
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Asymptotic optimality of empirical likelihood for testing moment restrictions
Kitamura, Yuichi - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 6, pp. 1661-1672
Persistent link: https://www.econbiz.de/10001624983
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GMM with weak identification
Stock, James H.; Wright, Jonathan H. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1055-1096
Persistent link: https://www.econbiz.de/10001510570
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Higher order properties of GMM and generalized empirical likelihood estimators
Newey, Whitney K.; Smith, Richard J. - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 1, pp. 219-255
Persistent link: https://www.econbiz.de/10001920373