this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid … sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic … conditions to estimate the selected structural parameters and thus achieves the standard GMM efficiency bound as if we know the …

moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives …

standard GMM estimators for dynamic panels in a second step. Our results show that ignorance of the spatial correlation leads … to potentially misleading results. Applying a system GMM estimator on the filtered variables, we obtain a speed of …

sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …