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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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The time series and cross-section asymptotics of dynamic panel data estimators
Alvarez, Javier; Arellano, Manuel - 1998
Persistent link: https://www.econbiz.de/10001361941
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On B-robust instrumental variable estimation of the linear model
Wagenvoort, Rien; Waldmann, Robert - 1998
Persistent link: https://www.econbiz.de/10001364761
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A nonlinear expectations model of the term structure of interest rates with time-varying risk premia
Lee, Bong-soo - In: Journal of money, credit and banking : JMCB 21 (1989) 3, pp. 348-367
Persistent link: https://www.econbiz.de/10001074068
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Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 4, pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
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Some tests of specification for panel data : Monte Carlo evidence and an application to employment equations
Arellano, Manuel - In: The review of economic studies 58 (1991) 2, pp. 277-297
Persistent link: https://www.econbiz.de/10001112717
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Measuring the sensitivity of parameter estimates to estimation moments
Andrews, Isaiah; Gentzkow, Matthew Aaron; Shapiro, Jesse M. - In: The quarterly journal of economics 132 (2017) 4, pp. 1553-1592
Persistent link: https://www.econbiz.de/10012036095
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Two-way models for gravity
Jochmans, Koen - In: The review of economics and statistics 99 (2017) 3, pp. 478-485
Persistent link: https://www.econbiz.de/10011793491
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Almost consistent estimation of panel probit models with "small" fixed effects
Laisney, François; Lechner, Michael - 2002
We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small T and large N. The moments used are derived for each period from a first order approximation of the mean of the dependent...
Persistent link: https://www.econbiz.de/10011447728
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Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 119-162
Persistent link: https://www.econbiz.de/10001647798