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Testing over : identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-ming; Kuan, Chung-ming; Hsu, Yu-Chin - 2014

Persistent link: https://www.econbiz.de/10010246721

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-ming; Hsu, Yu-Chin - In: Journal of econometrics 181 (2014) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10010473309

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10011345990

A generalized stepwise procedure with improved power for multiple inequalities testing/ Yu-chin Hsu; Chung-ming Kuan; Meng-feng Yen

Hsu, Yu-Chin; Kuan, Chung-ming; Yen, Meng-feng - 2013

Persistent link: https://www.econbiz.de/10009703564

Testing Over-Identifying Restrictions Without Consistent Estimation of the Asymptotic Covariance Matrix

Lee, Wei-Ming; Kuan, Chung-ming - 2010

This paper extends Kiefer, Vogelsang, and Bunzel - (2000, Econometrica) and Kiefer and Vogelsang - (2002b, Econometric Theory) to propose a class of over-identifying restrictions (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. These OIR tests do not...

Persistent link: https://www.econbiz.de/10014197758