Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- 31 March 2007
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 137 (1) , 28-67
- https://doi.org/10.1016/j.jeconom.2006.03.007
Abstract
No abstract availableAll Related Versions
This publication has 14 references indexed in Scilit:
- Testing Parameters in GMM Without Assuming that They Are IdentifiedEconometrica, 2005
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic ModelsEconometrica, 1997
- Finite-Sample Properties of Some Alternative GMM EstimatorsJournal of Business & Economic Statistics, 1996
- Tests for Parameter Instability and Structural Change With Unknown Change PointEconometrica, 1993
- An introduction to econometric applications of empirical process theory for dependent random variablesEconometric Reviews, 1993
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationEconometrica, 1991
- Cube Root AsymptoticsThe Annals of Statistics, 1990
- Cointegration and Tests of Present Value ModelsJournal of Political Economy, 1987
- Asymptotic Properties of Non-Linear Least Squares EstimatorsThe Annals of Mathematical Statistics, 1969
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic EquationsThe Annals of Mathematical Statistics, 1949