Information in generalized method of moments estimation and entropy-based moment selection

Journal of Econometrics

Volumn 138, Issue 2, 2007, Pages 488-512

  Hall, Alastair R ^a   Inoue, Atsushi ^a   Jana, Kalidas ^b   Shin, Changmock ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT BROWNSVILLE   (United States)

Author keywords

Efficiency; Long run canonical correlations; Near redundancy; Weak identification

Indexed keywords

CORRELATION METHODS; MATRIX ALGEBRA; NONLINEAR ANALYSIS; POPULATION STATISTICS; VECTORS;

LONG RUN CANONICAL CORRELATIONS; NEAR REDUNDANCY; SELECTION METHOD; WEAK IDENTIFICATION;

METHOD OF MOMENTS;

EID: 34247398397     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.05.006     Document Type: Article

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