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Finite sample inference for GMM estimators in linear panel data models

Bond, Stephen (contributor); Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001748246

Reliable inference for GMM estimators? : Finite sample properties of alternative test procedures in linear panel data models

Bond, Stephen; Windmeijer, Frank - In: Econometric reviews 24 (2005) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10002655586

On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference

Van de Sijpe, Nicolas; Windmeijer, Frank - In: Journal of econometrics 235 (2023) 1, pp. 82-104

Persistent link: https://www.econbiz.de/10014434384

Robust inference for the two-sample 2SLS estimator

Pacini, David; Windmeijer, Frank - 2016

Persistent link: https://www.econbiz.de/10011488342

Robust inference for the Two-Sample 2SLS estimator

Pacini, David; Windmeijer, Frank - In: Economics letters 146 (2016), pp. 50-54

Persistent link: https://www.econbiz.de/10011619048

More reliable inference for the dissimilarity index of segregation

Allen, Rebecca; Burgess, Simon M.; Davidson, Russell; … - In: The econometrics journal 18 (2015) 1, pp. 40-66

Persistent link: https://www.econbiz.de/10011346001

The confidence interval method for selecting valid instrumental variables

Windmeijer, Frank; Liang, Xiaoran; Hartwig, Fernando P.; … - 2019

Persistent link: https://www.econbiz.de/10012111975

Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2005

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these...

Persistent link: https://www.econbiz.de/10014064498