Gel criteria for moment condition models

Econometric Theory

Volumn 27, Issue 6, 2011, Pages 1192-1235

  Smith, Richard J ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 82455179509     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S026646661100003X     Document Type: Article

References (64)

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35. Chesher, A. & R.J. Smith (1997) Likelihood ratio specification tests. Econometrica, 65, 627-646. (Pubitemid 127466162)
36. Corcoran, S.A. (1998) Bartlett adjustment of empirical discrepancy statistics. Biometrika 85, 967-972.
37. Cressie, N. & T. Read (1984) Multinomial goodness-of-fit tests. Journal of the Royal Statistical Society, Series B 46, 440-464.
38. Gouríeroux, C. & A. Monfort (1989) A general framework for testing a null hypothesis in a "Mixed Form." Econometric Theory, 5, 63-82.
39. Gradshteyn, I.S. & I.M. Ryzhik (1980) Tables of Integrals, Series and Products. Academic Press.
40. Grenander, U. & M. Rosenblatt (1984) Statistical Analysis of Stationary Time Series. Chelsea.
41. Hansen, L.P. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054.
42. Hansen, L.P., J. Heaton, & A. Yaron (1996) Finite-Sample properties of some alternative GMM estimators. Journal of Business and Economic Statistics 14, 262-280.
43. Imbens, G.W. (1997) One-Step estimators for over-identified generalized method of moments models. Review of Economic Studies 64, 359-383. (Pubitemid 127466403)
44. Imbens, G.W., P. Johnson, & R.H. Spady (1998) Information theoretic approaches to inference in moment condition models. Econometrica. 66, 333-357. (Pubitemid 128467803)
45. Jansson, M. (2002) Consistent covariance matrix estimation for linear processes. Econometric Theory 18, 1449-1459. (Pubitemid 36399920)
46. Kitamura, Y. (1997) Empirical likelihood with weakly dependent processes. Annals of Statistics 25, 2084-2102.
47. Kitamura, Y. (2007) Empirical likelihood methods in econometrics: Theory and practice. In R.W. Blundell, W.K. Newey, & T. Persson (eds.), Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, vol. 3, Econometric Society Monograph Series, ESM 43, Chap. 8, pp. 174-237. Cambridge University Press.
48. Kitamura, Y., & M. Stutzer (1997) An information-theoretic alternative to generalized method of moments estimation. Econometrica 65, 861-874. (Pubitemid 127465497)
49. Newey, W.K. (1985a) Generalized method of moments specification testing. Journal of Econometrics. 29, 229-256.
50. Newey, W.K. (1985b) Maximum likelihood specification testing and conditional moment tests. Econometrica 53, 1047-1070.
51. Newey, W.K. & D. McFadden (1994) Large sample estimation and hypothesis testing. Chap. 36 in R.F. Engle & D. McFadden (eds.), Handbook of Econometrics, vol. 4, pp. 2111-2245. North Holland.
52. Newey, W.K. & R.J. Smith (2004) Higher order properties of GMM and generalized empirical likelihood estimators. Econometrica 72, 219-255.
53. Newey, W.K. & K.D. West (1987) A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica. 55, 703-708.
54. Neyman, J. (1959) Optimal asymptotic tests of composite statistical hypotheses. In U. Grenander (ed.), Probability and Statistics. Wiley.
55. Qin, J. & J. Lawless (1994) Empirical likelihood and general estimating equations. Annals of Statistics 22, 300-325.
56. Rao, C.R. & S.K. Mitra (1971) Generalized Inverse of Matrices and Its Applications. Wiley.
57. Sargan, J.D. (1980) Some tests of dynamic specification for a single equation. Econometrica 48, 879-897.
58. Schennach, S. (2007) Point Estimation with Exponentially Tilted Empirical Likelihood. Annals of Statistics 35, 634-672.
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