Centre Fellows
Richard Smith
University of Cambridge
Professor of Econometrics, University of Cambridge
Selected Publications
The primary concern of this article is the provision of definitions and tests for exogeneity appropriate […]
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 GEL class of estimators for […]
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The principal purpose of this paper is to adapt to the conditional moment context the GEL […]
Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura,henceforth A, S and […]
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The generalized method of moments estimator may be substantially biased in finite samples, especially so when […]
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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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This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]