GMM Estimation with Non-causal Instruments under Rational Expectations
GMM Estimation with Non-causal Instruments under Rational Expectations
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Oxford, UK: Blackwell Publishing Ltd
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English
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Oxford, UK: Blackwell Publishing Ltd
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Lanne and Saikkonen [Oxford Bulletin of Economics and Statistics (2011a) Vol. 73, pp. 581–592], show that the generalized method of moments (GMM) estimator is inconsistent, when the instruments are lags of variables that admit a non‐causal autoregressive representation. This article argues that this inconsistency depends on distributional assumptio...
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GMM Estimation with Non-causal Instruments under Rational Expectations
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TN_cdi_proquest_miscellaneous_1515983057
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1515983057
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ISSN
0305-9049
E-ISSN
1468-0084
DOI
10.1111/obes.12017
