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Testing over- and underidentification in linear models, with applications to dynamic panel data and asset-pricing models

Windmeijer, Frank - 2018

Persistent link: https://www.econbiz.de/10011943476

Weak instruments, first-stage heteroskedasticity and the robust F-test

Windmeijer, Frank - 2019

Persistent link: https://www.econbiz.de/10011979323

Testing underidentification in linear models, with applications to dynamic panel and asset pricing models

Windmeijer, Frank - In: Journal of econometrics 240 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015075096

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001

In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...

Persistent link: https://www.econbiz.de/10010293028

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen (contributor); Bowsher, Clive (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001545011

Projection estimators for autoregressive panel data models

Bond, Stephen; Windmeijer, Frank - In: The econometrics journal 5 (2002) 2, pp. 457-479

Persistent link: https://www.econbiz.de/10001713321

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

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - In: Economics letters 73 (2001) 3, pp. 379-388

Persistent link: https://www.econbiz.de/10001635106

On the stock-yogo tables

Skeels, Christopher L.; Windmeijer, Frank - 2016

Persistent link: https://www.econbiz.de/10011560625