This paper compares the power of alternative tests for the level moment conditions in GMM estimation of a linear …

for the "verify-out-of-sample" case. We show that sieve conditional expectation projection based GMM estimators achieve … mild regularity conditions. Although inverse probability weighting based GMM estimators are also shown to be …

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

and Jamaica using a time-series data for the latter and a panel data for both. The methodology of GMM time …-series estimation is used on the Jamaican data (1980-2011) and a Two Stage Least Square Regression model is used for the panel data …

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we … of regression coefficients. As a result, our paper extends the current SUR literature on the numerical equality of the …

restrictions, establishing the rate of convergence of the GMM estimator and characterizing the asymptotic representation for …