A note on a cross-sectional GMM estimator in the presence of an observable common shock. Issue 2 (3rd March 2020)
- Record Type:
- Journal Article
- Title:
- A note on a cross-sectional GMM estimator in the presence of an observable common shock. Issue 2 (3rd March 2020)
- Main Title:
- A note on a cross-sectional GMM estimator in the presence of an observable common shock
- Authors:
- Khovansky, Serguey
Zhylyevskyy, Oleksandr - Abstract:
- Abstract : This paper studies property of a modified GMM estimator employed for a single cross-section of data that are strongly dependent due to an observed stochastic common shock. The estimator is shown to be asymptotically mixed normal. Statistical inference can be conducted with a Wald test. An overidentifying restrictions test is suggested.
- Is Part Of:
- Statistics. Volume 54:Issue 2(2020)
- Journal:
- Statistics
- Issue:
- Volume 54:Issue 2(2020)
- Issue Display:
- Volume 54, Issue 2 (2020)
- Year:
- 2020
- Volume:
- 54
- Issue:
- 2
- Issue Sort Value:
- 2020-0054-0002-0000
- Page Start:
- 415
- Page End:
- 423
- Publication Date:
- 2020-03-03
- Subjects:
- Generalized method of moments -- common data shock -- single cross-section
62F03 -- 62F12
Mathematical statistics -- Periodicals
519.505 - Journal URLs:
- http://www.tandfonline.com/toc/gsta20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/02331888.2020.1737867 ↗
- Languages:
- English
- ISSNs:
- 0233-1888
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8453.505000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 13620.xml