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Optimal Inference in Dynamic Models with Conditional Moment Restrictions

Christensen, Bent Jesper - 2008

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … Newey's. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments … and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and …

Persistent link: https://www.econbiz.de/10012723172

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Chen, Xiaohong - 2015

This paper considers semiparametric two-step GMM estimation and inference with weakly dependent data, where unknown nuisance functions are estimated via sieve extremum estimation in the first step. We show that although the asymptotic variance of the second-step GMM estimator may not have a...

Persistent link: https://www.econbiz.de/10013019447

A Simple Test for Identification in GMM Under Conditional Moment Restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - 2011

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...

Persistent link: https://www.econbiz.de/10014184251

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

Robust standard errors in transformed likelihood estimation of dynamic panel data models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10009570680

Robust standard errors in transformed likelihood estimation of dynamic panel data models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10009545313

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U …

Persistent link: https://www.econbiz.de/10011332818

Misspecification-robust inference in linear asset pricing models with irrelevant risk factors

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2013

We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the...

Persistent link: https://www.econbiz.de/10010195037

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