GMM inference in the matrix exponential spatial specification
矩阵指数空间模型的 GMM 推断
This paper offers hypothesis and specification tests for the best generalized methods of moment estimator (BGMME) of the matrix exponential spatial specification (MESS) developed by Debarsy et al. (2015). First, as the BGMME is a two-step estimator, we formulate corrected standard errors using a modified version of the finite sample correction method in Windmeijer (2005) that accounts for the fact that the BGMME makes more extensive use of the first-stage estimator than the…