The empirical saddlepoint likelihood estimator applied to two-step GMM
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- Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
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More about this item
Keywords
Generalized method of moments estimator; test of overidentifying restrictions; sampling distribution; empirical saddlepoint approximation; asymptotic distribution; higher order bias;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-06-17 (Econometrics)
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