Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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- Improving consistent moment selection procedures for generalized method of moments estimation
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Cited in
(82)- Choosing the optimal set of instruments from large instrument sets
- What do `residuals' from first-order conditions reveal about DGE models?
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
- A comparative study of three data-based methods of instrument selection
- Improved instrumental variables and generalized method of moments estimators
- Linear instrumental variables model averaging estimation
- The indirect continuous-GMM estimation
- The optimal selection for restricted linear models with average estimator
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Sample selection and information-theoretic alternatives to GMM
- Detection of structural breaks in linear dynamic panel data models
- Improving consistent moment selection procedures for generalized method of moments estimation
- Method-of-moments estimation and choice of instruments: numerical computations
- Bayesian model selection based on parameter estimates from subsamples
- Sparse spatio-temporal autoregressions by profiling and bagging
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Joint integrative analysis of multiple data sources with correlated vector outcomes
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Consistent estimation of linear panel data models with measurement error
- Endogeneity in high dimensions
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- The optimal choice of moments in dynamic panel data models
- Choosing instrumental variables in conditional moment restriction models
- Model averaging based on generalized method of moments
- High dimensional semiparametric moment restriction models
- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Information in generalized method of moments estimation and entropy-based moment selection
- Shrinkage empirical likelihood estimator in longitudinal analysis with time-dependent covariates -- application to modeling the health of Filipino children
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Optimal bandwidth selection for robust generalized method of moments estimation
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Consistent model selection and data-driven smooth tests for longitudinal data in the estimating equations approach
- Hypothesis Testing with Efficient Method of Moments Estimation
- Panel data models with multiple time-varying individual effects
- On statistical properties of a test for model structure selection using the extended instrumental variable approach
- A Stopping Rule for the Computation of Generalized Method of Moments Estimators
- A Consistent Method for the Selection of Relevant Instruments
- A BAYESIAN INTERPRETATION OF MULTIPLE POINT ESTIMATES
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
- Directionally differentiable econometric models
- Quasi-Bayesian model selection
- Intrinsic Regression Models for Medial Representation of Subcortical Structures
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Adaptive GMM shrinkage estimation with consistent moment selection
- Oracle GMM estimation for misspecified models via thresholding
- Simultaneous estimation and inference for multiple response variables
- On the use of the Lasso for instrumental variables estimation with some invalid instruments
- Model selection in the presence of nonstationarity
- Information criteria for impulse response function matching estimation of DSGE models
- The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
- Size matters: covariance matrix estimation under the alternative
- A bootstrap approach to moment selection
- Consistent Estimation of Models Defined by Conditional Moment Restrictions
- Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
- Moment and IV selection approaches: a comparative simulation study
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Time-specific average estimation of dynamic panel regressions
- Two robust tools for inference about causal effects with invalid instruments
- Identifying the source of information rigidities in the expectations formation process
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Over-identified doubly robust identification and estimation
- Sequentially estimating the structural equation by power transformation
- Distributed Inference for Spatial Extremes Modeling in High Dimensions
- Regularized GMM for time-varying models with applications to asset pricing
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- Empirical Likelihood for Network Data
- Fused mean structure learning in data integration with dependence
- Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
- Using information criteria to select averages in CCE
- Relaxing the exclusion restriction in shift-share instrumental variable estimation
- Relevant moment selection under mixed identification strength
- Higher-order approximation of IV estimators with invalid instruments
- The synthetic instrument: from sparse association to sparse causation
- Econometric analysis of jump-driven stochastic volatility models
- Instrumental variable estimation in the presence of many moment conditions
- Variable selection in generalized random coefficient autoregressive models
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