Centre Fellows
Richard Smith
University of Cambridge
Professor of Econometrics, University of Cambridge
Selected Publications
Missing values are endemic in the data sets available to econometricians. This paper suggests a semiparametrically […]
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The primary concern of this article is the provision of definitions and tests for exogeneity appropriate […]
GEL methods that generalize and extend previous contributions are defined and analyzed for moment condition models […]
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The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity […]
This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of […]
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This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method […]
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This paper considers the first order large sample properties of the GEL class of estimators for […]
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We introduce test statistics based on generalized empirical likelihood methods that can be used to test […]
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Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura, henceforth A, S […]
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The generalized method of moments estimator may be substantially biased in finite samples, especially so when […]