American chat no registration - Continuous updating gmm
Continuous updating gmm
It contains a better function than paper 6, and has extensive simulations in the paper, and empirical example. "An Alternative to Unit Root Tests: Bridge Estimators Differentiate between Nonstationary versus Stationary Models and Select Optimal Lag", 2013, 143, 691-715 , with Keith Knight, University of Toronto, Department of Statistics.
The paper proposes Bridge estimators to select nonstationary versus stationary models.
Is this enough for the asymptotics to "kick in" for GMM estimation of an Euler equation of the type I was considering?
My first reaction was: "let's just bootstrap this thing and find out." My second reaction was: "there has to be plenty of evidence out there already, so let's not re-invent the wheel." Indeed, this is the case. Tauchen considers sample sizes of 50 and 75 - much smaller than I was using.
(Juan Andres Riquelme) 7."Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso", with Michael Fan, Xiamen University, WISE, July 2015, 187, 256-274.