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Neglected heterogeneity in moment condition models

Hahn, Jinyong; Newey, Whitney K.; Smith, Richard J. - In: Journal of Econometrics 178 (2014) P1, pp. 86-100

The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal m-tests against its potential presence. We initially consider the...

Persistent link: https://www.econbiz.de/10010730118

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - In: Journal of Econometrics 138 (2007) 2, pp. 430-460

Persistent link: https://www.econbiz.de/10005122495

Finite sample and asymptotic methods in econometrics

Smith, Richard J.; Boswijk, H. Peter - In: Journal of Econometrics 111 (2002) 2, pp. 135-140

Persistent link: https://www.econbiz.de/10005122647

Structural analysis of vector error correction models with exogenous I(1) variables

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of Econometrics 97 (2000) 2, pp. 293-343

Persistent link: https://www.econbiz.de/10005122719

Coherency and estimation in simultaneous models with censored or qualitative dependent variables

Blundell, Richard; Smith, Richard J. - In: Journal of Econometrics 64 (1994) 1-2, pp. 355-373

Persistent link: https://www.econbiz.de/10005122827

Recursive and rolling regression-based tests of the seasonal unit root hypothesis

Smith, Richard J.; Robert Taylor, A. M. - In: Journal of Econometrics 105 (2001) 2, pp. 309-336

Persistent link: https://www.econbiz.de/10005122870

Distributional specification tests against semiparametric alternatives

Peters, Simon; Smith, Richard J. - In: Journal of Econometrics 47 (1991) 1, pp. 175-194

Persistent link: https://www.econbiz.de/10005228774

Testing the normality assumption in multivariate simultaneous limited dependent variable models

Smith, Richard J. - In: Journal of Econometrics 34 (1987) 1-2, pp. 105-123

Persistent link: https://www.econbiz.de/10005285611

Duration response measurement error

Chesher, Andrew; Dumangane, Montezuma; Smith, Richard J. - In: Journal of Econometrics 111 (2002) 2, pp. 169-194

Persistent link: https://www.econbiz.de/10005285743

A unified approach to estimation and orthogonality tests in linear single-equation econometric models

Pesaran, M. Hashem; Smith, Richard J. - In: Journal of Econometrics 44 (1990) 1-2, pp. 41-66

Persistent link: https://www.econbiz.de/10005239046