Centre Fellows
Richard Smith
University of Cambridge
Professor of Econometrics, University of Cambridge
Selected Publications
The principal purpose of this paper is to adapt to the conditional moment context the GEL […]
The generalized method of moments estimator may be substantially biased in finite samples, especially so when […]
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Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura,henceforth A, S and […]
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This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]
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The principal purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) […]
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We introduce test statistics based on generalized empirical likelihood methods that can be used to test […]
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This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method […]
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GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models […]
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In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, […]
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This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]