GMM with Weak Identification
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Cited in
(only showing first 100 items - show all)- Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
- GMM estimation of the new Phillips curve.
- Linear instrumental variables model averaging estimation
- Identification and inference in two-pass asset pricing models
- A dynamic network model of the unsecured interbank lending market
- On weak identification in structural VARMA models
- On the estimation of total factor productivity: a novel Bayesian non-parametric approach
- Penalized indirect inference
- The asymptotic properties of GMM and indirect inference under second-order identification
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- Confidence intervals in generalized method of moments models
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Inference when a nuisance parameter is weakly identified under the null hypothesis
- On the structure of IV estimands
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Simple and trustworthy cluster-robust GMM inference
- Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
- The GENIUS approach to robust Mendelian randomization inference
- A comparison of testing and estimation of firm conduct
- The empirical saddlepoint estimator
- Almost sure uniqueness of a global minimum without convexity
- Asymptotic F tests under possibly weak identification
- Score tests in GMM: why use implied probabilities?
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Testing identification strength
- Inference in second-order identified models
- Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
- Generic results for establishing the asymptotic size of confidence sets and tests
- Inference of local regression in the presence of nuisance parameters
- Inference in structural vector autoregressions identified with an external instrument
- Projection-based inference with particle swarm optimization
- Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
- GMM and misspecification correction for misspecified models with diverging number of parameters
- Testing overidentifying restrictions with a restricted parameter space
- Empirical likelihood for regression discontinuity design
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
- Some properties of tests for parameters that can be arbitrarily close to being unidentified
- Identification in a generalization of bivariate probit models with dummy endogenous regressors
- Estimation uncertainty in structural inflation models with real wage rigidities
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Conditional moment models under semi-strong identification
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Consistent estimation with many moment inequalities
- Semiparametric tests of conditional moment restrictions under weak or partial identification
- Choosing instrumental variables in conditional moment restriction models
- Finite sample inference for quantile regression models
- Tests with correct size when instruments can be arbitrarily weak
- Combining estimators to improve structural model estimation and inference under quadratic loss
- A video interview of James Stock
- Finite-sample corrected inference for two-step GMM in time series
- The zero-information-limit condition and spurious inference in weakly identified models
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Averaging of an increasing number of moment condition estimators
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
- Second-order refinement of empirical likelihood for testing overidentifying restrictions
- GMM estimation and uniform subvector inference with possible identification failure
- Panel structural modeling with weak instrumentation and covariance restrictions
- Nonlinear cointegrating regression under weak identification
- Generalized empirical likelihood tests in time series models with potential identification failure
- Instrumental variable quantile regression: a robust inference approach
- Examining bias in estimators of linear rational expectations models under misspecification
- Weak identification robust tests in an instrumental quantile model
- Nearly-singular design in GMM and generalized empirical likelihood estimators
- Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
- Efficient forecast tests for conditional policy forecasts
- A new projection-type split-sample score test in linear instrumental variables regression
- Testing the adequacy of conventional asymptotics in GMM
- Bootstrap validity for the score test when instruments may be weak
- Improving confidence set estimation when parameters are weakly identified
- Implied Probabilities in GMM Estimators
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Efficient GMM with nearly-weak instruments
- GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
- Impulse response matching estimators for DSGE models
- Subset hypotheses testing and instrument exclusion in the linear IV regression
- Historical simulation approach to the estimation of stochastic discount factor models
- Entropy-Based Moment Selection in the Presence of Weak Identification
- LASSO-TYPE GMM ESTIMATOR
- The weak instrument problem of the system GMM estimator in dynamic panel data models
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
- The asymptotic distribution of the LIML estimator in a partially identified structural equation
- Valid Inference in Partially Unstable Generalized Method of Moments Models
- Generalized Method of Moments With Many Weak Moment Conditions
- Long difference instrumental variables estimation for dynamic panel models with fixed effects
- On robust GMM estimation with applications in economics and finance
- Detecting lack of identification in GMM
- On standard inference for GMM with local identification failure of known forms
- Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
- Quasi-Bayesian model selection
- Robust inference in nonlinear models with mixed identification strength
- Proportional hazards model with covariate measurement error and instrumental variables
- Adaptive GMM shrinkage estimation with consistent moment selection
- Weak instrumental variables models for longitudinal data
- Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models
- Optimal decision rules for weak GMM
- IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
- A statistical procedure for testing financial contagion
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