GMM inference when the number of moment conditions is large
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- de Jong, R.M. & Bierens, H.J., 1994. "On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity," Econometric Theory, Cambridge University Press, vol. 10(01), pages 70-90, March.
- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, .
"EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
Computing in Economics and Finance 1997
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- Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-52, July.
- Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
- Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
- Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
- Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
- Portnoy, Stephen, 1987. "A central limit theorem applicable to robust regression estimators," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 24-50, June.
- Koenker, Roger & Machado, Jose A. F., 1998. "The Falstaff estimator," Economics Letters, Elsevier, vol. 61(1), pages 23-28, October.
- Stephen G. Donald, 1997. "Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship," Econometrica, Econometric Society, vol. 65(1), pages 103-132, January.
- Andrews, Donald W K, 1991.
"Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models,"
Econometric Society, vol. 59(2), pages 307-45, March.
- Donald W.K. Andrews, 1988. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Cowles Foundation Discussion Papers 874R, Cowles Foundation for Research in Economics, Yale University, revised May 1989.
- Newey, W.K., 1989.
"Efficient Instrumental Variables Estimation Of Nonlinear Models,"
341, Princeton, Department of Economics - Econometric Research Program.
- Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-37, July.
- Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
- Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-63, May.
- Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
- Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
- Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
- Koenker, Roger, 1988. "Asymptotic Theory and Econometric Practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 139-47, April.
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