Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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Note: CFP 979.
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Other versions of this item:
- Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
References listed on IDEAS
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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- Donald W. K. Andrews, 1999.
"Consistent Moment Selection Procedures for Generalized Method of Moments Estimation,"
Econometrica,
Econometric Society, vol. 67(3), pages 543-564, May.
- Donald W.K. Andrews, 1997. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Cowles Foundation Discussion Papers 1146R, Cowles Foundation for Research in Economics, Yale University.
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More about this item
Keywords
Akaike information criterion; Bayesian information criterion; consistent selectionprocedure; downward testing procedure; generalized method of moments estimator; instrumental variables estimator; model selection; moment selection; test of over-identifyingrestrictions; upward testing procedure;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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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