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 InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00112514.
Date of creation: 2007
Date of revision:
Publication status: Published, Economics Letters, 2007, 95, 3, 380-385
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00112514
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Generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; Consistent Moment Selection;
Other versions of this item:
- Chatelain, Jean-Bernard, 2007. "Improving consistent moment selection procedures for generalized method of moments estimation," Economics Letters, Elsevier, vol. 95(3), pages 380-385, June.
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.:
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- Jean-Bernard Chatelain & Andrea Generale & Philip Vermeulen & Michael Ehrmann & Jorge Martínez-Pagés & Andreas Worms, 2003.
"Monetary policy transmission in the euro area: New evidence from micro data on firms and banks,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- 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," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 731-742, 04/05.
- 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, November.
- 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 & 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.
- 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.
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