Arellano and Bond (1991) develop new one-step and two-step GMM estimators for dynamic panel data. See [XT] xtabond for a discussion of these estimators and Stata's implementation of them. In their article, Arellano and Bond (1991) apply their new estimators to a model of dynamic labor ...
Valid Two-Step Identification-Robust Confidence Sets for GMM. {it:Review of Economics and Statistics} 100 (2) :337-348. {p_end} {marker AR1949}{...} {phang} Anderson, T. W. and Rubin, H. 1949. Estimation of the Parameters of Single Equation in a Complete System of Stoch...
This is implemented in Stata software (version 17), using the GMM commands and functions. 2.2.3. Model Assessment and Validation In order to determine the most suitable parameters estimating method for an additive model system, we employed statistical measures such as the adjusted coefficient of ...
The differences between the observed values and one-step ahead forecasts are a highly relevant measure for assessing current inflation data. Thus, the comparison of this forecast error with the corresponding confidence interval allows us to detect whether there is any significant innovation in inflation...