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GMM estimation with cross sectional dependence

  • Conley, T. G.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3X110PV-1/2/de9b210299a897c8e1eec46a50dff2b5
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 92 (1999)
Issue (Month): 1 (September)
Pages: 1-45

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Handle: RePEc:eee:econom:v:92:y:1999:i:1:p:1-45
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  2. Townsend, R.M., 1991. "Risk and Insurance in Village India," University of Chicago - Economics Research Center 91-3, Chicago - Economics Research Center.
  3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  4. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
  5. Quah, D., 1989. "An Improved Rate For Nonnegative Definite Consistent Covariance Matrix Estimation With Heterogeneous Dependent Data," Working papers 529, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Barro, R.J., 1989. "Economic Growth In A Cross Section Of Countries," RCER Working Papers 201, University of Rochester - Center for Economic Research (RCER).
  7. Roback, Jennifer, 1982. "Wages, Rents, and the Quality of Life," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1257-78, December.
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  9. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc.
  10. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
  11. Driscoll, John & Kraay, Aart, 1995. "Spatial correlations in panel data," Policy Research Working Paper Series 1553, The World Bank.
  12. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  13. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
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