scholarly journals A Simple Test for Identification in GMM Under Conditional Moment Restrictions

2011 ◽  
Author(s):  
Francesco Bravo ◽  
Juan Carlos Escanciano ◽  
Taisuke Otsu
Keyword(s):  
Simple Test ◽  
Conditional Moment ◽  
Moment Restrictions

Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions

1988 ◽  
Vol 83 (403) ◽  
pp. 863-871 ◽  
Author(s):  
Lars Peter Hansen ◽  
John C. Heaton ◽  
Masao Ogaki
Keyword(s):  
Conditional Moment ◽  
Moment Restrictions

scholarly journals Uniform nonparametric inference for time series using Stata

2020 ◽  
Vol 20 (3) ◽  
pp. 706-720
Author(s):  
Jia Li ◽  
Zhipeng Liao ◽  
Mengsi Gao
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Dynamic Equilibrium ◽  
Series Data ◽  
Conditional Moment ◽  
Specification Tests ◽  
Series Estimation ◽  
Moment Restrictions ◽  
Special Case ◽  
General Time

In this article, we introduce a command, tssreg, that conducts nonparametric series estimation and uniform inference for time-series data, including the case with independent data as a special case. This command can be used to nonparametrically estimate the conditional expectation function and the uniform confidence band at a user-specified confidence level, based on an econometric theory that accommodates general time-series dependence. The uniform inference tool can also be used to perform nonparametric specification tests for conditional moment restrictions commonly seen in dynamic equilibrium models.

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