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Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include...
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In this article, I derive the Lagrange multiplier test of the null hypothesis that a stationary random vector has a (possibly heteroscedastic) normal distribution against the alternative that the distribution is a member of the family with seminonparametric probability density functions...
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