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Exchange Rate Variability, Pressures and Optimum Currency Area Criteria: Implications for the Central and Eastern European Countries

Horvath, Roman - Institut ekonomických studií, Univerzita Karlova v Praze - 2005

This paper estimates the medium-term determinants of the bilateral exchange rate variability and exchange rate pressures for 20 developed countries in the 1990s. The results suggest that optimum currency area criteria explain the dynamics of bilateral exchange rate variability and pressures, to...

Persistent link: https://www.econbiz.de/10005698705

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010368186

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

Persistent link: https://www.econbiz.de/10010336485

Efficient Inference with Poor Instruments: a General Framework

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

We consider a general framework where weaker patterns of identifcation may arise: typically, the data generating process is allowed to depend on the sample size. However, contrary to what is usually done in the literature on weak identification, we do not give up the efficiency goal of...

Persistent link: https://www.econbiz.de/10010538860

Efficient Minimum Distance Estimation with Multiple Rates of Convergence

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …

Persistent link: https://www.econbiz.de/10010538864

A Cautionary Note on Tests for Overidentifying Restrictions

Parente, Paulo M.D.C.; Silva, Joao M.C. Santos - Business School, University of Exeter - 2011

Tests of overidentifying restrictions are widely used in practice. However, there is often confusion about the nature of their null hypothesis and about the interpretation of their outcome. In this note we argue that these tests give little information on whether the instruments are correlated...

Persistent link: https://www.econbiz.de/10009357955

Efficient minimum distance estimation with multiple rates of convergence

Antoine, Bertille; Renault, Eric - In: Journal of Econometrics 170 (2012) 2, pp. 350-367

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …

Persistent link: https://www.econbiz.de/10010594970

A cautionary note on tests of overidentifying restrictions

Parente, Paulo M.D.C.; Santos Silva, J.M.C. - In: Economics Letters 115 (2012) 2, pp. 314-317

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

Persistent link: https://www.econbiz.de/10010576435

Testing Identification Strength

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012

consistency and asymptotic normality of GMM estimators. We then develop two tests to assess the identification strength of the …

Persistent link: https://www.econbiz.de/10010818168

On the relevance of weaker instruments

Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2014

specifically, we study the asymptotic properties of the standard GMM estimator and the Hansen J-test when additional moment … restrictions that are weaker than the original ones are available. We show that the consistency of the GMM estimator is not … the efficiency of GMM estimator. Finally, we study the behavior of the Hansen J-test to assess the compatibility between …

Persistent link: https://www.econbiz.de/10010818177