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Data-driven identification in SVARs : when and how can statistical characteristics be used to unravel causal relationships?

Herwartz, Helmut; Lange, Alexander; Maxand, Simone - In: Economic inquiry 60 (2022) 2, pp. 668-693

Persistent link: https://www.econbiz.de/10013168173

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

Jin, Fei; Wang, Yuqin - In: Econometric reviews 41 (2022) 6, pp. 652-674

Persistent link: https://www.econbiz.de/10013364900

Covariance matrix estimation and the power of the overidentifying restrictions test

Hall, Alastair R. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1517-1527

Persistent link: https://www.econbiz.de/10001527521

Efficiency results of MLE and GMM estimation with sampling weights

Butler, John S. - In: Journal of econometrics 96 (2000) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10001466740

Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators

Inkmann, Joachim - 1999

Persistent link: https://www.econbiz.de/10001378701

Robust asymptotic inference in autoregressive models with martingale difference errors

Gospodinov, Nikolaj - In: Econometric reviews 24 (2005) 1, pp. 59-81

Persistent link: https://www.econbiz.de/10002655592

GMM, GEL, serial correlation, and asymptotic bias

Anatolyev, Stanislav - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 983-1002

Persistent link: https://www.econbiz.de/10002876889

Testing in GMM models without truncation

Vogelsang, Timothy J. - In: Maximum likelihood estimation of misspecified models : …, (pp. 199-233). 2003

Persistent link: https://www.econbiz.de/10001916340

Efficiency Results of Mle and GMM Estimation with Sampling Weights

Butler, J.S - 1998

and nonlinear regressions, but not of GMM estimators when heteroscedasticity is present. GMM variances are necessarily …

Persistent link: https://www.econbiz.de/10014220750

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Badinger, Harald - 2014

This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error component. We derive the moment conditions and...

Persistent link: https://www.econbiz.de/10013051285