Valid Inference in Partially Unstable Generalized Method of Moments Models
نویسندگان
چکیده
منابع مشابه
Valid Inference in Partially Unstable Generalized Method of Moments Models
This paper considers time series Generalized Method of Moments (GMM) models where a subset of the parameters are time varying. We focus on an empirically relevant case with moderately large instabilities, which are well approximated by a local asymptotic embedding that does not allow the instability to be detected with certainty, even in the limit. We show that for many forms of the instability...
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ژورنال
عنوان ژورنال: Review of Economic Studies
سال: 2009
ISSN: 0034-6527,1467-937X
DOI: 10.1111/j.1467-937x.2008.00516.x