Search Results

GMM with many weak moment conditions,
Whitney Newey and Frank Windmeijer, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2005)
Keywords: GMM, Continuous Updating, Many Moments, Variance Adjustment

GMM Bootstrapping and Testing in Dynamic Panels,
Pål Bergström, Matz Dahlberg and Eva Johansson, from Uppsala University, Department of Economics (1997)
Keywords: GMM; bootrapping; sequential tests; panel data

Redundancy of Moment Conditions in Restricted GMM Estimation,
Hailong Qian, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2016)
Keywords: GMM; restricted GMM estimation; moment conditions; redundancy of moment conditions; efficiency

GMM Approach to Residential Electricity Consumption in Indonesia,
Julie Ann Basconcillo and Aurelija Rimkute, in Energy RESEARCH LETTERS (2024)
Keywords: Household, Electricity consumption, GMM, Indonesia

GMM Estimation of Affine Term Structure Models,
Jaroslava Hlouskova and Leopold Sögner, from Institute for Advanced Studies (2015)
Keywords: Affine term-structure models, GMM

Testing Interval Forecasts: A New GMM-based Test,
Elena Ivona Dumitrescu, Christophe Hurlin and Jaouad Madkour, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2011)
Keywords: Interval forecasts - GMM - Value-at-Risk

A simple efficient GMM estimator of GARCH models,
Jimmy Skoglund, from Stockholm School of Economics (2001)
Keywords: GARCH; GARCH-M; efficient GMM

GMM with Many Moment Conditions,
Peter Phillips and Chirok Han, from Econometric Society (2004)
Keywords: GMM, IV, Large numbers of instruments, Pseudo true value, Signal, Signal Variability, Weak instrumentation

On the Asymptotic Efficiency of GMM,
Jean-Pierre Florens and Marine Carrasco, from Econometric Society (2004)
Keywords: Asymptotic efficiency, GMM, infinity of moment conditions, reproducing kernel Hilbert space, efficiency bound.

Testing Normality: A GMM Approach,
Christian Bontemps and Nour Meddahi, from Universite de Montreal, Departement de sciences economiques (2002)
Keywords: Normality, Stein-Hansen-Scheinkman equation, GMM, Hermite lynomials, rameter uncertainty, HAC, OPG regression

TESTING NORMALITY: A GMM APPROACH,
Christian Bontemps and Nour Meddahi, from Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002)
Keywords: normality, Stein-Hansen-Scheinkman equation, GMM, Hermite polynomials, parameter uncertainty, HAC, OPG regression

Monetary and fiscal policies' effect on agricultural growth: GMM estimation and simulation analysis,
Muhammad Akbar and Faisal Jamil, in Economic Modelling (2012)
Keywords: Agricultural sector; GMM; Simulation;

TRADING PARTNER VOLATILITY AND THE ABILITY FOR A COUNTRY TO COPE: A PANEL GMM MODEL, 1970-2005,
Jeffrey Edwards, in Applied Econometrics and International Development (2009)
Keywords: Volatility, Development, Diversification, GMM

Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2003)
Keywords: Threshold Models, GMM, Bootstrap

GMMCOVEARN: Stata module to compute GMM estimates of the Covariance Structure of Earnings,
Aedín Doris, Donal O'Neill and Olive Sweetman, from Boston College Department of Economics (2010)
Keywords: GMM, earnings, covariance structure

IVGMM0: Stata module to perform instrumental variables via GMM,
Christopher Baum and David Drukker, from Boston College Department of Economics (2004)
Keywords: GMM, instrumental variables, heteroskedasticity

Testing Distributional Assumptions: A GMM Approach,
Nour Meddahi and Christian Bontemps, from Econometric Society (2004)
Keywords: GMM, Hansen-Scheinkman moment conditions, parameter uncertainty, serial correlation

Bootstrap bias-adjusted GMM estimators,
Joaquim Ramalho, from University of Évora, Department of Economics (Portugal) (2005)
Keywords: GMM, Bootstrap, Empirical Likelihood, Instrumental Variables, Monte Carlo

System GMM Estimation With A Small Sample,
Marcelo Soto, from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) (2009)
Keywords: Economic Growth, System GMM estimation, Monte Carlo Simulations

System GMM estimation with a small sample,
Marcelo Soto, from Barcelona School of Economics (2009)
Keywords: economic growth, System GMM estimation, Monte Carlo Simulations

Testing Normality: A GMM Approach,
Christian Bontemps and Nour Meddahi, from CIRANO (2002)
Keywords: Normality, Stein-Hansen-Scheinkman equation, GMM, Hermite polynomials, parameter uncertainty, HAC, OPG regression, Normalité, équation de Stein-Hansen-Scheinkman, GMM, polynômes de Hermite, incertitude des paramètres, HAC, régression OPG

GMM with Many Moment Conditions,
Chirok Han and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2005)
Keywords: Epiconvergence, GMM, Irrelevant instruments, IV, Large numbers of instruments, LIML estimation, Panel models, Pseudo true value, Signal, Signal Variability, Weak instrumentation

GMM Estimation from Incomplete and Rotating Panels,
Pedro Albarran and Manuel Arellano, in Annals of Economics and Statistics (2019)
Keywords: GMM, Overlapping Moment Conditions, Unbalanced Panels

The impact of financial development on OFDI: Based on GMM estimates,
Li Jingwen, Soh Wei Ni, Zariyawati Mohd Ashhari and Fakarudin Kamarudin, in International Journal of Applied Economics, Finance and Accounting (2024)
Keywords: Developing countries, Financial development, OFDI, System GMM.

Backtesting Value-at-Risk: A GMM Duration-based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-based Test

Backtesting Value-at-Risk: A GMM Duration-based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-based Test

Backtesting Value-at-Risk: A GMM Duration-based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-based Test

Backtesting Value-at-Risk: A GMM Duration-Based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-Based Test

Backtesting Value-at-Risk: A GMM Duration-Based-Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-Based-Test

Backtesting Value-at-Risk: A GMM Duration-Based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from HAL (2008)
Keywords: Backtesting,Value-at-Risk,GMM,Duration-Based Test

Backtesting Value-at-Risk: A GMM Duration-Based Test,
Christophe Hurlin, Gilbert Colletaz, Sessi Tokpavi and Bertrand Candelon, from HAL (2008)
Keywords: Value-at-Risk,backtesting,GMM,duration-based test

Score tests in GMM: Why use implied probabilities?,
Saraswata Chaudhuri and Eric Renault, in Journal of Econometrics (2020)
Keywords: GEL; GMM; Implied probabilities; Score test;

Globalization and income inequality in developing countries: a GMM approach,
Carole Ibrahim, in SN Business & Economics (2022)
Keywords: Globalization, Income inequality, System GMM, Developing countries

Improved GMM estimation of the spatial autoregressive error model,
Matthias Arnold and Dominik Wied, in Economics Letters (2010)
Keywords: GMM estimation Spatial autoregression Regression residuals

Identification of the covariance structure of earnings using the GMM estimator,
Aedín Doris, Donal O’Neill and Olive Sweetman, in The Journal of Economic Inequality (2013)
Keywords: Identification, GMM, Covariance structure of earnings, J31, D31,

Alternative GMM estimators for spatial regression models,
Jörg Breitung and Christoph Wigger, from University of Cologne, Department of Economics (2017)
Keywords: Spatial Econometrics, Spatial error correlation, GMM-estimation

Backtesting Value-at-Risk: A GMM Duration-Based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2009)
Keywords: Backtesting, Value-at-Risk, GMM, Duration-Based Test

Backtesting Value-at-Risk: A GMM Duration-Based Test,
Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2008)
Keywords: Backtesting Value-at-Risk, GMM, Duration-Based Test

On the Debt-Growth Relationship and Related GMM Issues,
Gianni Carvelli, in Rivista Internazionale di Scienze Sociali (2024)
Keywords: Difference-GMM, Economic growth, Panel data modelling, Public debt, System-GMM

Asymptotic F and t tests in an efficient GMM setting,
Jungbin Hwang and Yixiao Sun, in Journal of Econometrics (2017)
Keywords: Efficient GMM; F distribution; Fixed-smoothing asymptotics; Heteroskedasticity and autocorrelation robust; t distribution; Two-step GMM;

GMM Estimation with persistent panel data: an application to production functions,
Richard Blundell and Stephen Bond, in Econometric Reviews (2000)
Keywords: panel data, GMM, production functions,

GMM estimation of spatial panels with fixed effects and unknown heteroskedasticity,
F. Moscone and Elisa Tosetti, in Regional Science and Urban Economics (2011)
Keywords: Spatial panels Fixed effects GMM

IVPOIS: Stata module to estimate an instrumental variables Poisson regression via GMM,
Austin Nichols, from Boston College Department of Economics (2008)
Keywords: Poisson regression, GMM, instrumental variables

Local influence analysis for GMM estimation,
Jun Lu, Wen Gan and Lei Shi, in AStA Advances in Statistical Analysis (2022)
Keywords: GMM estimation, Local influence, Influential observations, Perturbation scheme, Generalized influence function, Generalized cook statistic

Dynamic Panel GMM with Near Unity,
Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2014)
Keywords: Cauchy limit theory, Dynamic panel, GMM estimation, Instrumental variable, Irrelevant instruments, Panel unit roots, Persistence

Bayesian Indirect Inference and the ABC of GMM,
Michael Creel, Jiti Gao, Han Hong and Dennis Kristensen, from Monash University, Department of Econometrics and Business Statistics (2016)
Keywords: GMM-estimators, Laplace transformations, ABC estimators, nonparametric regressions, simulation-based estimation

The dynamic effect of rural-to-urban migration on inequality in source villages: System GMM estimates from rural China,
Wei Ha, Junjian Yi, Ye Yuan and Junsen Zhang, in China Economic Review (2016)
Keywords: Inequality; Migration; System GMM;

The GMM estimation of semiparametric spatial stochastic frontier models,
Zhezhi Hou, Shunan Zhao and Subal Kumbhakar, in European Journal of Operational Research (2023)
Keywords: Productivity competitiveness; GMM; Semiparametric model; Spatial dependence; Stochastic frontier model;

An efficient GMM estimator of spatial autoregressive models,
Xiaodong Liu, Lung-Fei Lee and Christopher Bollinger, in Journal of Econometrics (2010)
Keywords: Spatial autoregressive models Spatial correlated disturbances GMM QMLE Efficiency

GMM estimation of social interaction models with centrality,
Xiaodong Liu and Lung-Fei Lee, in Journal of Econometrics (2010)
Keywords: Social network Centrality Spatial autoregressive model GMM Efficiency

GMM estimation of spatial autoregressive models with unknown heteroskedasticity,
Xu Lin and Lung-Fei Lee, in Journal of Econometrics (2010)
Keywords: Spatial autoregression Unknown heteroskedasticity Robustness Consistent covariance matrix GMM

GMM estimation of affine term structure models,
Jaroslava Hlouskova and Leopold Sögner, in Econometrics and Statistics (2020)
Keywords: Affine term-structure models; GMM; Quasi-Bayesian methods;

Detecting invalid instruments using L1-GMM,
Chirok Han, in Economics Letters (2008)
Keywords: Instrumental variables Invalid instruments L1-GMM Over-identification test

The Impact of Monetary Policies on the Exchange Rate: A GMM Approach,
Amir Khordehfrosh Dilmaghani and Amir Mansour Tehranchian, in Iranian Economic Review (IER) (2015)
Keywords: Developing Countries, Exchange Rate, Generalized Method of Moments (GMM), Monetary Policies.

Asymptotic Efficiency of Semiparametric Two-step GMM,
Xiaohong Chen, Jinyong Hahn and Zhipeng Liao, from Cowles Foundation for Research in Economics, Yale University (2012)
Keywords: Overlapping Information Sets; Semiparametric Efficiency; Two-Step GMM

The GMM Estimation with Long Difference and Multiple Difference Operators,
Biing-Shen Kuo and Wen-Jen Tsay, from Institute of Economics, Academia Sinica, Taipei, Taiwan (2008)
Keywords: Time series regression, GMM, Long difference, Multiple difference

Asymptotic efficiency of semiparametric two-step GMM,
Xiaohong Chen and Jinyong Hahn, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
Keywords: Overlapping information sets, semiparametric efficiency, two-step GMM

GMM Estimation of Income Distributions from Grouped Data,
Gholamreza Hajargsht, William Griffiths, Joseph Brice, D.S. Prasada Rao and Duangkamon Chotikapanich, from The University of Melbourne (2011)
Keywords: GMM; generalized beta distribution; grouped data; inequality and poverty

Asymptotic F and t Tests in an Efficient GMM Setting,
Jungbin Hwang and Yixiao Sun, from Department of Economics, UC San Diego (2015)
Keywords: Social and Behavioral Sciences, Efficient GMM, F distribution, F test, Fixed-smoothing Asymptotics, Heteroskedasticity and Autocorrelation Robust, Two-step GMM

An Averaging GMM Estimator Robust to Misspecification,
Ruoyao Shi and Zhipeng Liao, from University of California at Riverside, Department of Economics (2018)
Keywords: asymptotic risk, finite-sample risk, generalized shrinkage estimator, GMM, misspecification, model averaging, non-standard estimator, uniform approximation

Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models,
Richard Ashley and Xiaojin Sun, in Econometrics (2016)
Keywords: dynamic panel data models; Arellano-Bond GMM estimator; Blundell-Bond GMM estimator; subset-continuous-updating GMM estimators

Unemployment – Corruption Relationship in OECD Countries: System GMM Approach,
Fatih Kırşanlı, in Business and Economics Research Journal (2023)
Keywords: Unemployment; Corruption; OECD; System GMM; Fixed Effects

MODELING ENERGY SECURITY–EXCHANGE RATE LINKAGE: EVIDENCE OF GMM APPROACH,
Tu Chuc Anh, Ehsan Rasoulinezhad, Thanh Ngo Chi, Huyen Le Hoang Ba and Hanh Hoang Thanh, in The Singapore Economic Review (SER) (2021)
Keywords: Energy insecurity, exchange rate, GMM estimator, Vietnam

DETERMINANTS OF FINANCIAL INCLUSION IN BANGLADESH: DYNAMIC GMM & QUANTILE REGRESSION APPROACH,
Ajim Uddin, Mohammad Ashraful Chowdhury and Md. Nazrul Islam, in Journal of Developing Areas (2017)
Keywords: Determinants, Financial Inclusion, Dynamic GMM, Quantile regression

GMM estimation of the spatial autoregressive model in a system of interrelated networks,
Wei Wang, Lung-Fei Lee and Yan Bao, in Regional Science and Urban Economics (2018)
Keywords: Spatial autoregressive models; Interrelated networks; GMM estimation;

Does institutional quality drive innovation? Evidence from system-GMM estimates,
Emrah Koçak, from University Library of Munich, Germany (2017)
Keywords: Institutions, Innovation, Panel data, System-GMM.

Fresh evidence on growth, expenditure and energy debate: GMM, Quantile and Threshold approaches,
Qazeem Adedamola, Ishaq Mustapha and Abul Masih, from University Library of Munich, Germany (2018)
Keywords: Growth, expenditure, energy consumption, GMM, Quantile, Threshold

Sustaining Economic Development of West African Countries: A System GMM Panel Approach,
Philip Alege and Adeyemi Ogundipe, from University Library of Munich, Germany (2013)
Keywords: Foreign Direct Investment, Economic Growth, System-GMM

GMM estimation of the autoregressiveparameter in a spatial autoregressive errormodel using regression residuals,
Matthias Arnold, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2007)
Keywords: GMM estimation, spatial autoregression, regression residuals

Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias,
Mark Schaffer, Gary Kleck and Tomislav Kovandzic, from C.E.P.R. Discussion Papers (2005)
Keywords: Crime; Homicide; Gun levels; Endogeneity; Gmm; Counties

Testing the governance-performance relationship for the Tunisian banks: a GMM in system analysis,
Nesrine Djebali and Khemais Zaghdoudi, in Financial Innovation (2020)
Keywords: Bank governance, Bank performance, Tunisian banks, GMM

Government spending and school enrolment in sub-Saharan Africa: A system GMM approach,
Oseni Isiaq Olasunkanmi, Akinbode Sakiru Oladele, Babalola Daniel Akinola and Adegboyega Soliu Bidemi, in Journal of Economics and Management (2020)
Keywords: primary school, enrolment, government, expenditure, GMM

GMM Estimation for Long Memory Latent Variable Volatility and Duration Models,
Willa Chen and Rohit Deo, from University Library of Munich, Germany (2005)
Keywords: GMM, long memory, stochastic volatility and durations

The Joint Estimate of Singleton and Longitudinal Observations: a GMM Approach for Improved Efficiency,
Randolph Bruno, Laura Magazzini and Marco Stampini, from University of Verona, Department of Economics (2018)
Keywords: Panel Data, Efficient Estimation, Unobserved Heterogeneity, GMM

GMM Based Inference with Standard Stratified Samples when the Aggregate Shares are Known,
Gautam Tripathi, from University of Connecticut, Department of Economics (2009)
Keywords: Generalized method of moments, GMM, standard stratified sampling.

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models,
Maurice J.G. Bun and Frank Windmeijer, from Tinbergen Institute (2009)
Keywords: Dynamic Panel Data, System GMM, Weak Instruments

Convergence of Income Among Provinces in Canada – An Application of GMM Estimation,
Mukesh Ralhan and Ajit Dayanandan, from Department of Economics, University of Victoria (2005)
Keywords: Provincial convergence, Canada, Panel data, GMM

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models,
Maurice Bun and Frank Windmeijer, from School of Economics, University of Bristol, UK (2007)
Keywords: Dynamic Panel Data, System GMM, Weak Instruments

The weak instrument problem of the system GMM estimator in dynamic panel data models,
Maurice Bun and Frank Windmeijer, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007)
Keywords: Dynamic panel data, system GMM, weak instruments

Automatic positive semi-definite HAC covariance matrix and GMM estimation,
Richard Smith, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2004)
Keywords: GMM, HAC Covariance Matrix Estimation, Overidentifying Moments

An Examination of the Dynamic Behavior of Local Governments Using GMM Bootstrapping Methods,
Matz Dahlberg and Eva Johansson, from Uppsala University, Department of Economics (1997)
Keywords: GMM bootstrapping; local governments; revenues-expenditures nexus

Bank stocks inform higher growth—A System GMM analysis of ten emerging markets in Asia,
Amit Mittal and Ajay Kumar Garg, in The Quarterly Review of Economics and Finance (2021)
Keywords: Banks; Economic growth; Asia; Emerging markets; GMM system; 2-Step GMM;

Institutional Quality and Economic Growth: Application on Dynamic Panel Data (GMM),
Abderraouf Mtiraoui, from HAL (2020)
Keywords: .Institution,Economic Growth,The Dynamic Panel Data (GMM),Institution,Croissance Economique,Données du Panel Dynamique (GMM)

Bootstrapping the GMM overidentification test under first-order underidentification,
Prosper Dovonon and Silvia Goncalves, in Journal of Econometrics (2017)
Keywords: GMM; GMM overidentification test; Rank deficiency; Second-order local identification; Bootstrap;

GMM gradient tests for spatial dynamic panel data models,
Süleyman Taşpınar, Osman Doğan and Anil K. Bera, in Regional Science and Urban Economics (2017)
Keywords: Spatial dynamic panel data model; SDPD; GMM; Robust LM tests; GMM gradient tests; Inference.;

R-Codes to Calculate GMM Estimations for Dynamic Panel Data Models,
Mohamed Abonazel, from University Library of Munich, Germany (2015)
Keywords: Dynamic panel data models; Generalized method of moments (GMM); Monte Carlo simulation; Two-step GMM estimations.

GMM Gradient Tests for Spatial Dynamic Panel Data Models,
Suleyman Taspinar, Osman Dogan and Anil K. Bera, from University Library of Munich, Germany (2017)
Keywords: Spatial Dynamic Panel Data Model, SDPD, GMM, Robust LM Tests, GMM Gradient Tests, Inference

The equivalence of two-step first difference and forward orthogonal deviations GMM,
Robert Phillips, in Economics Bulletin (2020)
Keywords: first-difference GMM, fixed effects, forward orthogonal demeaning, forward orthogonal deviations, system GMM

How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata,
David Roodman, from Center for Global Development (2006)
Keywords: dynamic panel estimation, difference GMM, system GMM, Stata, Arellano-Bond, Blundell-Bond, generalized method of moments, autocorrelation

Testing for the economic and environmental impacts of EU Emissions Trading System: A panel GMM approach,
Piotr Gretszel, Henryk Gurgul, Łukasz Lach and Stefan Schleicher, in Managerial Economics (2020)
Keywords: EU ETS, GMM, panel data