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Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Kang, Byunguk; Dufour, Jean-Marie - In: Econometric reviews 40 (2021) 7, pp. 657-687
Persistent link: https://www.econbiz.de/10012624528
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Identification‐ and singularity‐robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …
Persistent link: https://www.econbiz.de/10012202897
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Generalized band spectrum estimation with an application to the New Keynesian Phillips curve
Choi, Jinho; Escanciano, Juan Carlos; Guo, Junjie - In: Journal of applied econometrics 37 (2022) 5, pp. 1055-1078
Persistent link: https://www.econbiz.de/10013464648
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Factors affecting the export of condoms from Thailand to the USA using simultaneous equations with the GMM method
Sakkarin Nonthapot - In: International journal of business and globalisation : IJBG 29 (2021) 2, pp. 211-221
Persistent link: https://www.econbiz.de/10012668933
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A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2015
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10011285977
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....
Persistent link: https://www.econbiz.de/10011379149
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Testing parameters in GMM without assuming that they are identified
Kleibergen, Frank - 2001
Persistent link: https://www.econbiz.de/10011317461
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2013
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10010200387
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Making weak instrument sets stronger : factor-based estimation of inflation dynamics and a monetary policy rule
Mirza, Harun; Storjohann, Lidia - In: Journal of money, credit and banking : JMCB 46 (2014) 4, pp. 643-664
Persistent link: https://www.econbiz.de/10010466745