2 papers
econ.EM2019
Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms
Byunghoon Kang
Nonparametric series regression often involves specification search over the tuning parameter, i.e., evaluating estimates and confidence intervals with a different number of series…
econ.EM2019
A Doubly Corrected Robust Variance Estimator for Linear GMM
Jungbin Hwang, Byunghoon Kang, Seojeong Lee
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formul…