Improving consistent moment selection procedures for generalized method of moments estimation
AbstractThis paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen ) and on the Eichenbaum, Hansen and Singleton  test of the validity of a subset of moment conditions.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 95 (2007)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Jean-Bernard Chatelain, 2007. "Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00112514, HAL.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W. K. Andrews, 1999.
"Consistent Moment Selection Procedures for Generalized Method of Moments Estimation,"
Econometric Society, vol. 67(3), pages 543-564, May.
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003.
"Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks,"
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MIT Press, vol. 1(2-3), pages 731-742, 04/05.
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- Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.
- Angeloni,Ignazio & Kashyap,Anil K. & Mojon,Benoît (ed.), 2003. "Monetary Policy Transmission in the Euro Area," Cambridge Books, Cambridge University Press, number 9780521828642, December.
- Arellano, Manuel & Bond, Stephen, 1991.
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- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Frahan, Bruno Henry de & Nkunzimana, Tharcisse & De Blander, Rembert & Gaspart, Frederic & Sumner, Daniel A., 2008. "Farm Household Incomes And Reforming The Cap," 109th Seminar, November 20-21, 2008, Viterbo, Italy 44814, European Association of Agricultural Economists.
- Jean-Bernard Chatelain & Andre Tiomo, 2003. "Monetary Policy and Corporate Investment in France," Post-Print halshs-00112523, HAL.
- Jean-Bernard Chatelain & Andre Tiomo, 2003. "Monetary Policy and Corporate Investment in France," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00112523, HAL.
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