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