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Small-Sample Properties of GMM-Based Wald Tests
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Cited by:
- Paul P.J. Gao & Kevin X.D. Huang, 2008.
"Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence,"
Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
- Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
- Geert Bekaert & Robert J. Hodrick, 2001.
"Expectations Hypotheses Tests,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1357-1394, August.
- Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
- Hafedh Bouakez & Emanuela Cardia & Francisco J. Ruge-Murcia, 2009.
"The Transmission Of Monetary Policy In A Multisector Economy,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1243-1266, November.
- BOUAKEZ, Hafedh & CARDIA, Emanuela & RUGE-MURCIA, Francisco J., 2005. "The Transmission of Monetary Policy in a Multi-Sector Economy," Cahiers de recherche 20-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- BOUAKEZ, Hafed & CARDIA Emanuela & RUGE-MURCIA, Francisco, 2005. "The Transmission of Monetary Policy in a Multi-Sector Economy," Cahiers de recherche 2005-16, Universite de Montreal, Departement de sciences economiques.
- Anatolyev, Stanislav, 2012.
"Inference in regression models with many regressors,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, New Economic School (NES).
- Jondeau, E. & Le Bihan, H., 2001.
"Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data,"
Working papers
86, Banque de France.
- Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, University Library of Munich, Germany.
- Baker, Michael, 1997. "Growth-Rate Heterogeneity and the Covariance Structure of Life-Cycle Earnings," Journal of Labor Economics, University of Chicago Press, vol. 15(2), pages 338-375, April.
- Clark, Todd E, 1998. "Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks," Journal of Labor Economics, University of Chicago Press, vol. 16(1), pages 202-229, January.
- Giesen, Sebastian & Scheufele, Rolf, 2016.
"Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models,"
Journal of Macroeconomics, Elsevier, vol. 48(C), pages 1-18.
- Giesen, Sebastian & Scheufele, Rolf, 2013. "Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models," IWH Discussion Papers 8/2013, Halle Institute for Economic Research (IWH).
- repec:wyi:journl:002093 is not listed on IDEAS
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2011.
"Specification Testing In Models With Many Instruments,"
Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, New Economic School (NES).
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, Center for Economic and Financial Research (CEFIR).
- Antoine, Bertille & Lavergne, Pascal, 2023.
"Identification-robust nonparametric inference in a linear IV model,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- A. Craig Burnside, 2007.
"Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors,"
NBER Working Papers
13357, National Bureau of Economic Research, Inc.
- A. Craig Burnside, 2010. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," Working Papers 10-45, Duke University, Department of Economics.
- Simon Gilchrist & John C. Williams, 2000.
"Putty-Clay and Investment: A Business Cycle Analysis,"
Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 928-960, October.
- Simon Gilchrist & John C. Williams, 1998. "Putty-Clay and Investment: A Business Cycle Analysis," NBER Working Papers 6812, National Bureau of Economic Research, Inc.
- Simon Gilchrist & John C. Williams, 1998. "Putty-clay and investment: a business cycle analysis," Finance and Economics Discussion Series 1998-30, Board of Governors of the Federal Reserve System (U.S.).
- Michael Creel, 2002. "Hausman Tests for Inefficient Estimators: Application to Demand for Health Care Service (revised)," UFAE and IAE Working Papers 509.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Dufour, Jean-Marie & Torres, Olivier, 2000.
"Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes,"
Journal of Econometrics, Elsevier, vol. 99(2), pages 255-289, December.
- DUFOUR, Jean-Marie & TORRÈS, Olivier, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Universite de Montreal, Departement de sciences economiques.
- Dufour, J.M. & Torres, O., 2000. "Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Olivier Torrès, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," CIRANO Working Papers 2000s-17, CIRANO.
- Marine Carrasco & Mohamed Doukali, 2022. "Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 71-97.
- Ren, Yu & Shimotsu, Katsumi, 2009.
"Improvement in finite sample properties of the Hansen-Jagannathan distance test,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 483-506, June.
- Yu Ren & Katsumi Shimotsu, 2007. "Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test," Working Paper 1126, Economics Department, Queen's University.
- Burnside, Craig & Eichenbaum, Martin, 1996.
"Factor-Hoarding and the Propagation of Business-Cycle Shocks,"
American Economic Review, American Economic Association, vol. 86(5), pages 1154-1174, December.
- Craig Burnside & Martin Eichenbaum, 1994. "Factor Hoarding and the Propagation of Business Cycles Shocks," NBER Working Papers 4675, National Bureau of Economic Research, Inc.
- Michael Creel, 2004. "Modified Hausman tests for inefficient estimators," Applied Economics, Taylor & Francis Journals, vol. 36(21), pages 2373-2376.
- Burnside, Craig, 1998. "Detrending and business cycle facts: A comment," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 513-532, May.
- Paulo Parente & Richard J. Smith, 2024. "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers 08/24, Institute for Fiscal Studies.
- Ahn, Seung C. & Gadarowski, Christopher, 2004. "Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 109-132, January.
- Jondeau, Eric & Le Bihan, Herve, 2005. "Testing for the New Keynesian Phillips Curve. Additional international evidence," Economic Modelling, Elsevier, vol. 22(3), pages 521-550, May.
- Clive Bowsher, 2000. "On Testing Overidentifying Restrictions in Dynamic Panel Data Models," Economics Series Working Papers 2000-W28, University of Oxford, Department of Economics.
- Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
- Yang, Qing & Hou, Xiaochao & Zhang, Lei, 2018. "Measurement of natural and cyclical excess capacity in China's coal industry," Energy Policy, Elsevier, vol. 118(C), pages 270-278.
- Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
- Hartigan, Luke, 2018.
"Alternative HAC covariance matrix estimators with improved finite sample properties,"
Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 55-73.
- Luke Hartigan, 2016. "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers 2016-06, School of Economics, The University of New South Wales.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Qihui Chen & Yu Ren, 2013. "Improvement in finite-sample properties of GMM-based Wald tests," Computational Statistics, Springer, vol. 28(2), pages 735-749, April.
- Hartley, Peter R. & Whitt Jr, Joseph A., 2003. "Macroeconomic fluctuations: Demand or supply, permanent or temporary?," European Economic Review, Elsevier, vol. 47(1), pages 61-94, February.
- Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.).
- Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011.
"Generalized Tests of Investment Fund Performance,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
- Márcio Laurini, 2012. "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers 2012-03, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
- repec:wyi:journl:002162 is not listed on IDEAS
- Gorodnichenko, Yuriy & Ng, Serena, 2010.
"Estimation of DSGE models when the data are persistent,"
Journal of Monetary Economics, Elsevier, vol. 57(3), pages 325-340, April.
- Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
- Park, Dojoon & Kang, Yong Joo & Eom, Young Ho, 2024. "Asset pricing tests for pandemic risk," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1314-1334.
- Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
- 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.
- Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.