This chapter reviews developments to improve on the poor performance of the standard
GMM estimator for highly autoregressive panel series. It considers the use of the …

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient
two-step generalized method of moments (GMM) estimator can be severely downward …

One puzzling results in the literature on energy consumption-economic growth causality is
the variability of results particularly across sample periods, sample sizes, and model …

We investigate the small-sample properties of three alternative generalized method of
moments (GMM) estimators of asset-pricing models. The estimators that we consider include …

The wild bootstrap is studied in the context of regression models with heteroskedastic
disturbances. We show that, in one very specific case, perfect bootstrap inference is …

The purpose of this article is to examine the export–output nexus in Japan by taking into
account the time variation in the causal link with bootstrap Granger non-causality test and …

In practice, bootstrap tests must use a finite number of bootstrap samples. This means that
the outcome of the test will depend on the sequence of random numbers used to generate …

This study examines the association between corporate social responsibility (CSR) and
earnings management (EM) among manufacturing firms from a developing economy …

This paper studies properties of tests for long memory for general fourth order stationary
sequences. We propose a rescaled variance test based on V/S statistic which is shown to …

We perform an extensive Monte Carlo study of efficient method of moments (EMM)
estimation of a stochastic volatility model. EMM uses the expectation under the structural …