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Simulated conditional moment tests

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  • Orme, Chris

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 49 (1995)
Issue (Month): 3 (September)
Pages: 239-245

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Handle: RePEc:eee:ecolet:v:49:y:1995:i:3:p:239-245

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  1. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  2. Orme, Christopher, 1988. "The Calculation of the Information Matrix Test for Binary Data Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 56(4), pages 370-76, December.
  3. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September.
  4. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
  5. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
  6. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  8. Hashem Pesaran, M. & Pesaran, Bahram, 1993. "A simulation approach to the problem of computing Cox's statistic for testing nonnested models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 377-392.
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Cited by:
  1. Dhaene, Geert & Hoorelbeke, Dirk, 2004. "The information matrix test with bootstrap-based covariance matrix estimation," Economics Letters, Elsevier, vol. 82(3), pages 341-347, March.

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