This paper presents a consistent Generalized Method of Moments (GMM) residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be nonzero if the model is misspecified. The test will never fail to detect misspecification of any form for large samples, and is asymptotically chi-squared under the ...

I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on the generalized method of moments (GMM) estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the bootstrap moment function, which has been considered as a critical procedure for bootstrapping GMM. The elimination of the rece...

capital market is one of the most important sectors of every economy. economic growth can lead to capital market boom and development, on the other hand, achieving desired economic growth and development is impossible without efficient financial institution and suitable funding resources. in this study the relationship between financial development and economic growth in opec countries and non-...

In this paper, we consider a spatial-autoregressive model with autoregressive disturbances, where we allow for endogenous regressors in addition to a spatial lag of the dependent variable. We suggest a two-step generalized method of moments (GMM) and instrumental variable (IV) estimation approach extending earlier work by, e.g., Kelejian and Prucha (1998, 1999). In contrast to those papers, we ...

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...

Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous equations, which corresponds to a reduced rank regression model. The expansions in terms of the samp...

This study is to investigate the short- and long-run causal relationship between agglomeration (localization and urbanization) economies and labor productivity in the manufacturing sector of 28 Iranian provinces over an 11-year period, 2001–2011. Fully Modified Ordinary Least Squares (FMOLS) method was used to estimate our long-run panel data model. The empirical findings suggested that localiz...

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small in instrumental variable settings. In this paper we give a new variance estimator for GEL that addresses this problem. It is consistent under the usual asymptotics and under ...