Small Sample Properties of Generalized Method of Moments Based Wald Tests
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This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings are
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美国国家经济研究局创建时间：
1994-05-01
