GMM Estimation with Noncausal Instruments
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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.
- Lanne, Markku & Saikkonen, Pentti, 2008.
"Modeling Expectations with Noncausal Autoregressions,"
8411, University Library of Munich, Germany.
- Markku Lanne & Pentti Saikkonen, 2008. "Modeling Expectations with Noncausal Autoregressions," Economics Working Papers ECO2008/20, European University Institute.
- K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
- Hansen, Bruce E & West, Kenneth D, 2002. "Generalized Method of Moments and Macroeconomics," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 460-469, October.
- Breid, F. Jay & Davis, Richard A. & Lh, Keh-Shin & Rosenblatt, Murray, 1991. "Maximum likelihood estimation for noncausal autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 175-198, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lanne, Markku & Luoto, Jani, 2013.
"Autoregression-based estimation of the new Keynesian Phillips curve,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(3), pages 561-570.
- Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
- Matthijs Lof, 2014.
"GMM Estimation with Non-causal Instruments under Rational Expectations,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 76(2), pages 279-286, April.
- Lof, Matthijs, 2011. "GMM estimation with noncausal instruments under rational expectations," MPRA Paper 35536, University Library of Munich, Germany.
- Lof Matthijs, 2013. "Noncausality and asset pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
- Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011. "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper 30254, University Library of Munich, Germany.
More about this item
KeywordsNoncausal autoregression; instrumental variables; test of overidentifying restrictions;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-17 (All new papers)
- NEP-ECM-2010-07-17 (Econometrics)
- NEP-ETS-2010-07-17 (Econometric Time Series)
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