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A GMM-based test for normal disturbances of the Heckman sample selection model

Pfaffermayr, Michael - In: Econometrics : open access journal 2 (2014) 4, pp. 151-168

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Persistent link: https://www.econbiz.de/10010417177

Consistent GMM residuals-based tests of functional form

Hill, Jonathan B. - In: Econometric reviews 32 (2013) 1/4, pp. 361-383

Persistent link: https://www.econbiz.de/10009717788

Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - 2014

Persistent link: https://www.econbiz.de/10010470613

Sieve semiparametric two-step GMM under weak dependence

Chen, Xiaohong; Liao, Zhipeng - In: Journal of econometrics 189 (2015) 1, pp. 163-186

Persistent link: https://www.econbiz.de/10011502514

A general class of non-nested test statistics for models defined through moment restrictions

Parente, Paulo M. D. C. - In: Econometric theory 34 (2018) 2, pp. 477-507

Persistent link: https://www.econbiz.de/10011950988

Invariant tests based on M-estimators, estimating functions, and the generalized method of moments

Dufour, Jean-Marie; Trognon, Alain; Tuvaandorj, Purevdorj - In: Econometric reviews 36 (2017) 1/3, pp. 182-204

Persistent link: https://www.econbiz.de/10011795165

Robust causality test of infinite variance processes

Akashi, Fumiya; Taniguchi, Masanobu; Monti, Anna Clara - In: Journal of econometrics 216 (2020) 1, pp. 235-245

Persistent link: https://www.econbiz.de/10012439690

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Persistent link: https://www.econbiz.de/10015149596

Saddlepoint Approximations and Test Statistics for Accurate Inference in Overidentified Moment Conditions Models

Trojani, Fabio; Ronchetti, Elvezio - 2003

saddlepoint approximation of a general GMM estimator and are shown to be asymptotically chi-squared distributed to higher order … fully nonparametric setting and which only requires a preliminary GMM parameter estimation to be computed. Therefore, it can … be also easily incorporated into available GMM estimation packages. Finally, we provide some numerical Monte Carlo …

Persistent link: https://www.econbiz.de/10014093722

Consistent GMM Residuals-Based Tests of Functional Form

Hill, Jonathan B. - 2011

This paper presents a consistent GMM residuals-based test of functional form for time series models. By relating two …

Persistent link: https://www.econbiz.de/10013122531