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