Search Results - subject:"Variance correction"

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Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014286699

A doubly corrected robust variance estimator for linear GMM

Hwang, Jungbin; Kang, Byunghoon; Lee, Seojeong - In: Journal of econometrics 229 (2022) 2, pp. 276-298

Persistent link: https://www.econbiz.de/10013441882

GMM inference in spatial autoregressive models

Taṣpınar, Süleyman; Doğan, Osman; Vijverberg, Wim P. M. - In: Econometric reviews 37 (2018) 6/10, pp. 931-954

Persistent link: https://www.econbiz.de/10012040422

Bias correction and refined inferences for fixed effects spatial panel data models

Yang, Zhenlin; Yu, Jihai; Liu, Shew Fan - In: Regional science & urban economics 61 (2016), pp. 52-72

Persistent link: https://www.econbiz.de/10011638864

Improved inferences for spatial regression models

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 55 (2015), pp. 55-67

Persistent link: https://www.econbiz.de/10011479842

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...

Persistent link: https://www.econbiz.de/10010330335

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - Institute for Fiscal Studies (IFS) - 2000

Persistent link: https://www.econbiz.de/10005547904

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Persistent link: https://www.econbiz.de/10011537937