Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models
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- Hans Genberg & Laurent L. Pauwels, 2003. "An Open Economy New Keynesian Phillips Curve: Evidence from Hong Kong," IHEID Working Papers 03-2003, Economics Section, The Graduate Institute of International Studies.
- Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
- Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
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More about this item
Keywords
Akaike information criterion; Bayesian information criterion; consistent selection procedure; generalized method of moments estimator; instrumental variables estimator; model selection; moment selection; panel data model; test of over-identifying restrictions;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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-1999-11-01 (Econometrics)
- NEP-ETS-1999-11-01 (Econometric Time Series)
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