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Efficient GMM and MD estimation of autoregressive models

Kim, Yangseon; Qian, Hailong; Schmidt, Peter - In: Economics letters 62 (1999) 3, pp. 265-270

Persistent link: https://www.econbiz.de/10001398680

Improved instrumental variables and generalized method of moments estimators

Qian, Hailong; Schmidt, Peter - In: Journal of econometrics 91 (1999) 1, pp. 145-169

Persistent link: https://www.econbiz.de/10001382169

Redundancy of moment conditions and the efficiency of OLS in SUR models

Qian, Hailong - In: Econometric theory 24 (2008) 5, pp. 1456-1460

Persistent link: https://www.econbiz.de/10003748821

Redundancy of moment conditions in restricted GMM estimation

Qian, Hailong - In: Frontiers of economics in China : selected publications … 11 (2016) 3, pp. 468-497

Persistent link: https://www.econbiz.de/10011597964

Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

Anderson, Richard G. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003740180

Moment redundancy test with application to efficiency-improving copulas

Hao, Bowen; Prokhorov, Artem; Qian, Hailong - In: Economics letters 171 (2018), pp. 29-33

Persistent link: https://www.econbiz.de/10012021844

Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators

Anderson, Richard G. - 2006

In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...

Persistent link: https://www.econbiz.de/10012732978

GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model

Doran, Howard E.; Schmidt, Peter - In: Journal of econometrics 133 (2006) 1, pp. 387-409

Persistent link: https://www.econbiz.de/10003354588

Stochastic frontier models with multiple time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of productivity analysis 27 (2007) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10003494902

More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares

Im, KyungSo; Schmidt, Peter - In: Journal of econometrics 144 (2008) 1, pp. 219-233

Persistent link: https://www.econbiz.de/10003723652