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Criterion-based inference for GMM in autoregressive panel-data models.

Abstract:

In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen, Heaton and Yaron, 1996) or exponential tilting parameters (Imbens, Spady and Johnson, 1998). The likelihood ratio type statistic is computed simply as the difference between the standard GMM tests of overi...

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Publication date:
2001-01-01
URN:
uuid:e8524df5-f246-4a96-8262-725da806f16a
Local pid:
oai:economics.ouls.ox.ac.uk:12918
Language:
English

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