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Structural analysis of vector error correction models with exogenous I (1) variables

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of econometrics 97 (2000) 2, pp. 293-343

Persistent link: https://www.econbiz.de/10001496593

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Newey, Whitney K.; Ramalho, Joaquim J. S.; Smith, Richard J. - In: Identification and inference for econometric models : …, (pp. 245-281). 2005

Persistent link: https://www.econbiz.de/10003351982

GEL methods for nonsmooth moment indicators

Parente, Paulo (contributor); Smith, Richard J. (contributor) - 2008

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...

Persistent link: https://www.econbiz.de/10003739699

Generalized empirical likelihood tests in time series models with potential identification failure

Guggenberger, Patrik; Smith, Richard J. - In: Journal of econometrics 142 (2008) 1, pp. 134-161

Persistent link: https://www.econbiz.de/10003608146

Generalized empirical likelihood estimators and tests under partial, weak, and strong identification

Guggenberger, Patrik; Smith, Richard J. - In: Econometric theory 21 (2005) 4, pp. 667-709

Persistent link: https://www.econbiz.de/10003004703

Forecasting manufacturing output growth using firm-level survey data

Mitchell, James; Smith, Richard J.; Weale, Martin - In: The Manchester School 73 (2005) 4, pp. 479-499

Persistent link: https://www.econbiz.de/10002976858

Bounds testing approaches to the analysis of long-run relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1999

Persistent link: https://www.econbiz.de/10001387285

Regression-based seasonal unit root tests

Smith, Richard J.; Taylor, Robert; Barrio Castro, Tomas del - In: Econometric theory 25 (2009) 2, pp. 527-560

Persistent link: https://www.econbiz.de/10003818361

Implied probability kernel block bootstrap for times series moment condition models

Parente, Paulo M. D. C.; Smith, Richard J. - 2024

This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to provide a comprehensive treatment of its use for GMM estimation and inference in time-series models formulated in terms of moment conditions. KBB procedures that employ bootstrap...

Persistent link: https://www.econbiz.de/10014520806

Non-nested tests for instrumental variable regression models with differing conditioning sets

Smith, Richard J. - 1989 - Rev

Persistent link: https://www.econbiz.de/10000130938

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