One-Step Estimators for Over-Identified Generalized Method of Moments Models

From MaRDI portal
Revision as of 23:49, 6 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4368685

DOI10.2307/2971718zbMath0889.90039OpenAlexW2113886783WikidataQ108879812 ScholiaQ108879812MaRDI QIDQ4368685

Guido W. Imbens

Publication date: 4 December 1997

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2971718






Related Items (73)

Efficient information theoretic inference for conditional moment restrictionsOn the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihoodBlockwise generalized empirical likelihood inference for non-linear dynamic moment conditions modelsOn the second-order properties of empirical likelihood with moment restrictionsAn adaptive empirical likelihood test for parametric time series regression modelsGeneralized empirical likelihood tests in time series models with potential identification failureOptimally combining censored and uncensored datasetsEstimation with overidentifying inequality moment conditionsThe empirical saddlepoint estimatorOn the computational complexity of MCMC-based estimators in large samplesTests of additional conditional moment restrictionsRobust small sample accurate inference in moment condition modelsSemiparametric inference with a functional-form empirical likelihoodMethod-of-moments estimation and choice of instruments: numerical computationsGEL estimation for heavy-tailed GARCH models with robust empirical likelihood inferenceAn MCMC approach to classical estimation.A higher-order correct fast moving-average bootstrap for dependent dataEmpirical likelihood estimation and consistent tests with conditional moment restrictionsFinite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood EstimatorThe Information Geometric Structure of Generalized Empirical Likelihood EstimatorsDivergences and duality for estimation and test under moment condition models\(R\)-estimates vs. GMM: a theoretical case study of validity and efficiencyTesting conditional moment restrictionsON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTIONFinite Sample Properties of the Two-Step Empirical Likelihood EstimatorA GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONSTesting with exponentially tilted empirical likelihoodGEL estimation and tests of spatial autoregressive modelsMinimum Divergence, Generalized Empirical Likelihoods, and Higher Order ExpansionsGEL statistics under weak identificationRobust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errorsInference functions and quadratic score testsModerate deviations of generalized method of moments and empirical likelihood estimatorsAdjusted empirical likelihood with high-order precisionCombining empirical likelihood and generalized method of moments estimators: asymptotics and higher order biasROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORSGeneralized empirical likelihood specification test robust to local misspecificationCriterion-based inference for GMM in autoregressive panel data models.Point estimation with exponentially tilted empirical likelihoodNear exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptoticsNeglected heterogeneity in moment condition modelsAn alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specificationAsymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimatorsAsymptotic refinements of a misspecification-robust bootstrap for GEL estimatorsOn weighting of bivariate margins in pairwise likelihoodRobust inference for moment condition models without rational expectationsA new class of asymptotically efficient estimators for moment condition modelsEmpirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown FunctionsGaussian Processes and Bayesian Moment EstimationA unified approach for synthesizing population-level covariate effect information in semiparametric estimation with survival dataGENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATIONMOMENT-BASED INFERENCE WITH STRATIFIED DATAGEL METHODS FOR NONSMOOTH MOMENT INDICATORSAdjusted empirical likelihood for right censored lifetime dataGMM and misspecification correction for misspecified models with diverging number of parametersEdgeworth expansions for GEL estimatorsCount Data Models with Correlated Unobserved HeterogeneityGEL CRITERIA FOR MOMENT CONDITION MODELSAn alternative two-step generalized method of moments estimator based on a reduced form modelImproved instrumental variables and generalized method of moments estimatorsBayesian Estimation and Comparison of Moment Condition ModelsMisspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimatorsA new class of tests for overidentifying restrictions in moment condition modelsLarge Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model MisspecificationThe MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.Confidence intervals in generalized method of moments modelsGeneralized empirical likelihood non-nested testsSample selection and information-theoretic alternatives to GMMConnections between entropic and linear projections in asset pricing estimationLimited information likelihood and Bayesian analysisSubsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identificationON THE ASYMPTOTIC EFFICIENCY OF GMMRobust empirical likelihood







This page was built for publication: One-Step Estimators for Over-Identified Generalized Method of Moments Models