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Testing for structural breaks in factor copula models

Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345

Persistent link: https://www.econbiz.de/10012145023

Structural change tests for GEL criteria

Guay, Alain; Lamarche, Jean-François - In: Econometric reviews 37 (2018) 6/10, pp. 1000-1032

Persistent link: https://www.econbiz.de/10012040528

Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - 2020

Persistent link: https://www.econbiz.de/10012214073

Identification strength with a large number of moments

Han, Hyojin; Renault, Eric - In: Econometric reviews 39 (2020) 7, pp. 691-714

Persistent link: https://www.econbiz.de/10012262515

Finite sample properties of the GMM Anderson-Rubin test

Bun, Maurice J. G.; Farbmacher, Helmut; Poldermans, Rutger W - In: Econometric reviews 39 (2020) 10, pp. 1042-1056

Persistent link: https://www.econbiz.de/10012406208

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - 2005

This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs...

Persistent link: https://www.econbiz.de/10010261344