Consistent moment selection procedures for generalized method of moments estimation
Article Abstract:
Moment selection procedures were introduced to address a generalized method of moments estimation problem. Utilization of such procedures, which can also be used to assess whether the number of moment conditions is enough to determine the unknown parameters of interest, results in consistent production of procedures for choosing instrumental variables. Procedures like those based on moment selection criterion can be specifically used in choosing instrumental variables for two stage instrumental variables estimators or two stage least squares.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1999
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A conditional Kolmogorov test
Article Abstract:
An extension of the Kolmogorov test of goodness-of-fit for distribution functions for use in a conditional test of model specification for parametric models with regressors reveals that the test has considerable power against the null hypothesis. An evaluation of the test reveals that the test is effective against situations where the parametric model is correctly specified and against situations where the parametric model is incorrectly specified.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1997
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Tests for parameter instability and structural change with unknown change point
Article Abstract:
Parameter instability and structural change are tested for using tests which can be applied with general types of parameter instability, though they were developed for a once-off change to parameter vectors. The change point is unknown, and nonlinear parametric models are used, while the tests are asymptotic. Regression parameters can be set at zero with an error variance at one, and the model can be simulated to generate precise critical values.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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- Abstracts: Testing and valuing dynamic correlations for asset allocation. On the fit of new Keynesian models
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- Abstracts: The method of simulated scores for the estimation of LDV models. An information-theoretic alternative to generalized method of moments estimation