Sieve semiparametric two-step GMM under weak dependence

Authors

Keywords

Sieve two-step GMM, Weakly dependent data, Auto-correlation robust inference, Semiparametric over-identification test, Numerical equivalence, Random perturbation derivative estimator

Journal

JOURNAL OF ECONOMETRICS

Volume 189, Issue 1, Pages 163-186

Publisher

Elsevier BV

Online

2015-07-30

DOI

10.1016/j.jeconom.2015.07.001

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