Using invalid instruments on purpose: focused moment selection and averaging for GMM

DOI10.1016/J.JECONOM.2016.07.006zbMath1443.62441arXiv1408.0705OpenAlexW3124377371MaRDI QIDQ337769

Francis J. DiTraglia

Publication date: 3 November 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0705

zbMATH Keywords

moment selectionmodel averagingfocused information criterionGMM estimationpost-selection estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (23)

Optimal Model Averaging Based on Generalized Method of Moments ⋮ Model averaging in semiparametric estimation of treatment effects ⋮ Simultaneous estimation and inference for multiple response variables ⋮ Model averaging based on generalized method of moments ⋮ Model averaging, asymptotic risk, and regressor groups ⋮ A model‐averaging treatment of multiple instruments in Poisson models with errors ⋮ Efficient shrinkage in parametric models ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Over-identified doubly robust identification and estimation ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Focused estimation for noisy and small data sets: a Bayesian minimum expected loss estimator approach ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ An averaging estimator for two-step m-estimation in semiparametric models ⋮ Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators ⋮ A weighted average limited information maximum likelihood estimator ⋮ Confidence intervals for intentionally biased estimators ⋮ Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure ⋮ A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs ⋮ Valid instrumental variable selection method using negative control outcomes and constructing efficient estimator ⋮ INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS ⋮ Focused information criterion for locally misspecified vector autoregressive models ⋮ Distribution theory of the least squares averaging estimator

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