Score tests in GMM: Why use implied probabilities?
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DOI: 10.1016/j.jeconom.2020.03.004
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Citations
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Cited by:
- David T. Frazier & Eric Renault & Lina Zhang & Xueyan Zhao, 2020.
"Weak Identification in Discrete Choice Models,"
Papers
2011.06753, arXiv.org, revised Jan 2021.
- Frazier, David T. & Renault, Eric & Zhang, Lina & Zhao, Xueyan, 2021. "Weak Identification in Discrete Choice Models," The Warwick Economics Research Paper Series (TWERPS) 1336, University of Warwick, Department of Economics.
- Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
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More about this item
Keywords
GEL; GMM; Implied probabilities; Score test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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