GMM
Hansen, Lars Peter (1982): "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica 50: 1029-1054.
Arellano, Manuel and Bond, Stephen (1991): "Some Tests of Specification
for Panel Data: Monte Carlo Evidence and an Application to Employment
Equations", The Review of Economic Studies 58: 277-297. Contrastes de especificación I
Andrews, Donald W. K. (1988a): "Chi-Square Diagnostic Tests for
Econometric Models. Introduction and Applications", Journal of
Econometrics 37: 135-156.
Andrews, Donald W. K. (1988b): "Chi-Square Diagnostic Tests for Econometric Models: Theory", Econometrica 56: 1419-1453. Contrastes de especificación II
Newey, Whitney K. (1985): "Maximum Likelihood Specification Testing and Conditional Moment Tests", Econometrica 53: 1047-1070.
Cameron, A. Colin and Trivedi, Pravin K. (1990): "Regression-based
tests for overdispersion in the Poisson model", Journal of Econometrics
46: 347-364. Criterios de selección del modelo
Cameron, A.C. and F.A.G. Windmeijer (1996): "R-squared measures for
count data regression models with applications to health care
utilization", Journal of Business and Economic Statistics 14: 209-220.
Cameron, A.C. and F.A.G. Windmeijer (1997): "An R-squared measure of
goodness of fit for some common nonlinear regression models", Journal
of Econometrics 77: 329-342. Quantile regression
Koenker, Roger and Bassett, Gilbert (1978): "Regression Quantiles", Econometrica 46: 33-50.
Buchinsky, Moshe (1994): "Changes in the U.S. Wage Structure 1963-1987:
Application of Quantile Regression", Econometrica 62: 405-458. Quasi-likelihood
Gourieroux, C.; Monfort, A.; and Trognon A. (1984a): "Pseudo Maximum Likelihood Methods: Theory", Econometrica 52: 681-700.
Gourieroux, C.; Monfort, A.; and Trognon A. (1984b): "Pseudo Maximum
Likelihood Methods: Applications to Poisson Models", Econometrica 52:
701-720. Empirical Likelihood and GMM
Imbens, Guido W. (1997): "One-Step Estimators for Over-Identified
Generalized Method of Moments Models", The Review of Economic Studies
64: 359-383.
Imbens, Guido W. (2002): "Generalized Method of Moments and Empirical
Likelihood", Journal of Business & Economic Statistics 20: 493-506. Semiparametric methods
Robinson, P. M. (1987): "Asymptotically Efficient Estimation in the
Presence of Heteroskedasticity of Unknown Form", Econometrica 55:
875-891.
Delgado, Miguel A. and Kniesner, Thomas J. (1997): "Count Data Models
with Variance of Unknown Form: An Application to a Hedonic Model of
Worker Absenteeism", The Review of Economics and Statistics 79: 41-49. |