Journal ArticleDOI
Generalized Method of Moments and Macroeconomics
Bruce E. Hansen,Kenneth D. West +1 more
TLDR
In this article, the authors consider the contribution to the analysis of economic time series of the generalized method ofmoments estimator introduced by Hansen and conduct a small-scale literature survey, and discuss some ongoing theoretical research.Abstract:
We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.read more
Citations
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Journal ArticleDOI
Habit Formation in Consumer Preferences: Evidence from Panel Data
TL;DR: In this article, a simple model of habit formation implies a condition relating the strength of habits to the evolution of consumption over time, and the condition is estimated with food consumption data from the Panel Study on Income Dynamics.
Journal ArticleDOI
Saving, Growth, and Investment: A Macroeconomic Analysis Using a Panel of Countries
TL;DR: In this article, a descriptive analysis of the long and short run correlations among saving, investment, and growth rates for 123 countries over the period 1961-94 is presented. But the analysis is limited to the USA.
Book
Investment in capital markets
TL;DR: In this paper, the authors discuss the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language.
Journal ArticleDOI
Ties That Bind: The Impact of Multiple Types of Ties with a Customer on Sales Growth and Sales Volatility
TL;DR: In this paper, the authors investigated the effect of multiple types of ties with a customer on a supplier's performance with the customer, and found that an increase in the number of different types of relationships with a customers results in an increase of supplier sales to the customer and a decrease in sales volatility to that customer.
Journal ArticleDOI
On the second-order properties of empirical likelihood with moment restrictions
Song Xi Chen,Hengjian Cui +1 more
TL;DR: In this article, the second-order properties of empirical likelihood for a parameter defined by moment restrictions, which is the inferential framework of the generalized method of moments, were considered.
References
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Journal ArticleDOI
Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.
Manuel Arellano,Stephen Bond +1 more
TL;DR: In this article, the generalized method of moments (GMM) estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no strictly exogenous variables.
Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Another look at the instrumental variable estimation of error-components models
Manuel Arellano,Olympia Bover +1 more
TL;DR: In this paper, a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables is presented. But the authors do not consider models with predetermined variables that have constant correlation with the effects.
Journal ArticleDOI
Specification Tests in Econometrics
TL;DR: In this article, the null hypothesis of no misspecification was used to show that an asymptotically efficient estimator must have zero covariance with its difference from a consistent but asymptonically inefficient estimator, and specification tests for a number of model specifications in econometrics.