Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
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DOI: 10.1080/07474938.2014.999499
Abstract: ABSTRACT It is quite common to observe heteroskedasticity in real data, in particular, cross-sectional or micro data. Previous studies concentrate on improving the finite-sample properties of tests under heteroskedasticity of unknown forms in linear models.… read more here.
Keywords: nonlinear models; sample refinement; heteroskedasticity unknown; finite sample ... See more keywords