Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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Recommendations
- Improving consistent moment selection procedures for generalized method of moments estimation
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- A bootstrap approach to moment selection
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Choosing instrumental variables in conditional moment restriction models
Cited in
(77)- Variable selection in generalized random coefficient autoregressive models
- Size matters: covariance matrix estimation under the alternative
- Consistent estimation of linear panel data models with measurement error
- GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Choosing instrumental variables in conditional moment restriction models
- Using information criteria to select averages in CCE
- A BAYESIAN INTERPRETATION OF MULTIPLE POINT ESTIMATES
- Distributed Inference for Spatial Extremes Modeling in High Dimensions
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Regularized GMM for time-varying models with applications to asset pricing
- High dimensional semiparametric moment restriction models
- Information in generalized method of moments estimation and entropy-based moment selection
- Optimal bandwidth selection for robust generalized method of moments estimation
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- The indirect continuous-GMM estimation
- Linear instrumental variables model averaging estimation
- Model selection in the presence of nonstationarity
- Endogeneity in high dimensions
- 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
- The optimal choice of moments in dynamic panel data models
- Quasi-Bayesian model selection
- Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
- Simultaneous estimation and inference for multiple response variables
- Detection of structural breaks in linear dynamic panel data models
- Bayesian model selection based on parameter estimates from subsamples
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Relaxing the exclusion restriction in shift-share instrumental variable estimation
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Relevant moment selection under mixed identification strength
- Higher-order approximation of IV estimators with invalid instruments
- Two robust tools for inference about causal effects with invalid instruments
- Time-specific average estimation of dynamic panel regressions
- A bootstrap approach to moment selection
- Choosing the optimal set of instruments from large instrument sets
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Over-identified doubly robust identification and estimation
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
- Moment and IV selection approaches: a comparative simulation study
- The optimal selection for restricted linear models with average estimator
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- What do `residuals' from first-order conditions reveal about DGE models?
- Generalized empirical likelihood-based model selection criteria for moment condition models
- A Consistent Method for the Selection of Relevant Instruments
- Directionally differentiable econometric models
- Empirical Likelihood for Network Data
- Fused mean structure learning in data integration with dependence
- Improving consistent moment selection procedures for generalized method of moments estimation
- Method-of-moments estimation and choice of instruments: numerical computations
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Sample selection and information-theoretic alternatives to GMM
- Joint integrative analysis of multiple data sources with correlated vector outcomes
- Information criteria for impulse response function matching estimation of DSGE models
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- A comparative study of three data-based methods of instrument selection
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
- Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
- Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Adaptive GMM shrinkage estimation with consistent moment selection
- Instrumental variable estimation in the presence of many moment conditions
- Consistent Estimation of Models Defined by Conditional Moment Restrictions
- Intrinsic Regression Models for Medial Representation of Subcortical Structures
- Model averaging based on generalized method of moments
- Identifying the source of information rigidities in the expectations formation process
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Shrinkage empirical likelihood estimator in longitudinal analysis with time-dependent covariates -- application to modeling the health of Filipino children
- Consistent model selection and data-driven smooth tests for longitudinal data in the estimating equations approach
- Hypothesis Testing with Efficient Method of Moments Estimation
- Sequentially estimating the structural equation by power transformation
- Sparse spatio-temporal autoregressions by profiling and bagging
- On the use of the Lasso for instrumental variables estimation with some invalid instruments
- Panel data models with multiple time-varying individual effects
- Econometric analysis of jump-driven stochastic volatility models
- Oracle GMM estimation for misspecified models via thresholding
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