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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

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

An efficient method of moments estimator for discrete choice models with choice-based sampling

Imbens, Guido - 1990

Persistent link: https://www.econbiz.de/10000784301

Small sample properties of generalized method of moments based Wald tests

Burnside, Craig; Eichenbaum, Martin S. - 1994

Persistent link: https://www.econbiz.de/10000888841

Small sample bias in GMM estimation of covariance structures

Altonji, Joseph G. - 1994

Persistent link: https://www.econbiz.de/10000889238

Small sample bias in GMM estimation of covariance structures

Altonji, Joseph G.; Segal, Lewis M. - 1994

Persistent link: https://www.econbiz.de/10000893251

Small sample properties of Generalized Method of Moments based Wald tests

Burnside, Craig; Eichenbaum, Martin S. - 1994

Persistent link: https://www.econbiz.de/10000895520

Finite sample performance of the empirical likelihood estimator under endogeneity

Mittelhammer, Ron C.; Judge, George G. - In: Computer-aided econometrics, (pp. 149-173). 2003

Persistent link: https://www.econbiz.de/10002594897

Finite Sample Inference for GMM Estimators in Linear Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2002

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these...

Persistent link: https://www.econbiz.de/10014116826

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig; Eichenbaum, Martin S. - 2021

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10013224900