Arbeitspapier
Testing Parameters in GMM without Assuming that they are identified
We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...)
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 01-067/4
- Klassifikation
-
Wirtschaft
- Thema
-
Weak instruments
Size distortions
Covariance matrix estimators
stochastic discount factors
Statistischer Test
Schätztheorie
Theorie
Momentenmethode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kleibergen, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kleibergen, Frank
- Tinbergen Institute
Entstanden
- 2001
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