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Covariance matrix estimation
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1
Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors
Larch, Mario
;
Walde, Janette F.
- In:
The annals of regional science : an international …
43
(
2009
)
2
,
pp. 473-490
Persistent link: https://www.econbiz.de/10003838252
Saved in:
2
Information in generalized method of moments estimation and entropy-based moment selection
Hall, Alastair R.
;
Inoue, Atsushi
;
Jana, Kalidas
;
Shin, …
- In:
Journal of econometrics
138
(
2007
)
2
,
pp. 488-512
Persistent link: https://www.econbiz.de/10003464282
Saved in:
3
Indenfication of the covariance structure of earnings using the GMM estimator.
O'Neill, Donal
;
Doris, Aedín
;
Sweetman, Olive B.
-
2010
Persistent link: https://www.econbiz.de/10008806662
Saved in:
4
Dynamic panel data models with spatial
correlation
Hujer, Reinhard
;
Rodrigues, Paulo J. M.
;
Wolf, Katja
- In:
Jahrbücher für Nationalökonomie und Statistik
228
(
2008
)
5/6
,
pp. 612-629
Persistent link: https://www.econbiz.de/10003813556
Saved in:
5
Testing for codependence of cointegrated variables
Trenkler, Carsten
;
Weber, Enzo
- In:
Applied economics
45
(
2013
)
13/15
,
pp. 1953-1964
Persistent link: https://www.econbiz.de/10009758484
Saved in:
6
Equilibrium moment restrictions on asset returns : normal and crisis periods
Simmons, Peter J.
;
Tantisantiwong, Nongnuch
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1064-1089
Persistent link: https://www.econbiz.de/10010465917
Saved in:
7
The determinants of asymmetric volatility
Wu, Guojun
- In:
The review of financial studies
14
(
2001
)
3
,
pp. 837-859
Persistent link: https://www.econbiz.de/10001602980
Saved in:
8
Covariance matrix estimation and the power of the overidentifying restrictions test
Hall, Alastair R.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
6
,
pp. 1517-1527
Persistent link: https://www.econbiz.de/10001527521
Saved in:
9
Matching, human capital, and the covariance structure of earnings
Parent, Daniel
- In:
Labour economics : official journal of the European …
9
(
2002
)
3
,
pp. 375-404
Persistent link: https://www.econbiz.de/10001682202
Saved in:
10
Spatial dynamic panel data models with correlated random effects
Li, Liyao
;
Yang, Zhenlin
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 424-454
Persistent link: https://www.econbiz.de/10012619244
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