Large Sample Properties of Generalized Method of Moments Estimators
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(only showing first 100 items - show all)- On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
- A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
- Empirical likelihood for estimating equations with missing values
- On weighting of bivariate margins in pairwise likelihood
- momentfit
- VAR-based estimation of Euler equations with an application to New Keynesian pricing
- Worst-case estimation for econometric models with unobservable components
- Testing the significance of cell-cycle patterns in time-course microarray data using nonparametric quadratic inference functions
- Semi-parametric specification tests for mixing distributions
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
- Pooling forecasts in linear rational expectations models
- Local linear regression for data with AR errors
- On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
- Gaining efficiency via weighted estimators for multivariate failure time data
- Deciding between GARCH and stochastic volatility via strong decision rules
- Multivariate regression models for panel data
- A heteroscedasticity-consistent covariance matrix estimator for time series regressions
- Model specification testing of time series regressions
- Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables
- Full-versus limited-information estimation of a rational-expectations model. Some numerical comparisons
- Generalized method of moments specification testing
- A simplified approach to M-estimation with application to two-stage estimators
- Specification tests for distributional assumptions in the Tobit model
- Elliptical multivariate analysis
- Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
- Convergence of least squares learning mechanisms in self-referential linear stochastic models
- The second-order bias and mean squared error of nonlinear estimators
- A reinterpretation of the tests of overidentifying restrictions
- The cyclical behavior of mark ups in U. S. manufacturing and trade: new empirical evidence based on a model of optimal storage
- The slope of the yield curve and real economic activity: tracing the transmission mechanism
- GMM estimation with cross sectional dependence
- Regularizing double machine learning in partially linear endogenous models
- The potential for efficiency gains in estimation from the use of additional moment restrictions
- GMM, maximum likelihood, and nonparametric efficiency
- Maximum entropy estimation of density and regression functions
- Adaptive estimation of regression models via moment restrictions
- Estimating dynamic models from time series of independent cross-sections
- A cointegration approach to estimating preference parameters
- Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
- Nonparametric adaptive learning with feedback
- Strategic financial risk management and operations research
- M-estimation with incomplete and dependent multivariate data
- Approximate \(p\)-values of predictive tests for structural stability
- Volatility and GMM -- Monte Carlo studies and empirical estimations
- Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
- Analysis of cointegration vectors using the GMM approach
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Improved instrumental variables and generalized method of moments estimators
- The relative efficiency of method of moments estimators
- Convenient estimators for the panel probit model
- Testing for serial correlation in multivariate regression models
- Distribution-free estimation of some nonlinear panel data models
- Asymptotic Bayesian analysis based on a limited information estimator
- Testing for measurement errors in expectations from survey data
- On estimation and testing when explanatory variables are partly endogenous
- Excess volatility. A testing strategy
- Evaluating multiperiod survey forecasts of real net exports
- Discriminating between errors-in-variables/simultaneity and misspecification in linear regression models
- Quasi-maximum likelihood estimation of stochastic volatility models
- Testing for the exogeneity of real income in models of the poverty process. Evidence from post-independence India
- A limit theorem for a smooth class of semiparametric estimators
- Nonconvexities, labor hoarding, technology shocks, and procyclical productivity. A structural econometric analysis
- Nonparametric estimation of structural models for high-frequency currency market data
- A generalized variance bounds test with an application to the Holt et al. inventory model
- Estimation in choice-based sampling with measurement error and bootstrap analysis
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Higher moment estimators for linear regression models with errors in the variables
- GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
- Efficient estimation of panel data models with sequential moment restrictions
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Codependent cycles
- Predictive tests for structural change with unknown breakpoint
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Testing multiple equation systems for common nonlinear components
- Dynamic equilibrium and volatility in financial asset markets
- Testing for unit roots in panel data using a GMM approach
- Correcting for non-compliance in randomized trials using rank preserving structural failure time models
- How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
- Consumption adjustment to real interest rates: Intertemporal substitution revisited
- A consistent bootstrapped GMM estimator for the linear model with arbitrary inequality constraints on parameters
- Empirical method of moments and its applications
- An MCMC approach to classical estimation.
- Spectral GMM estimation of continuous-time processes
- Empirical reverse engineering of the pricing kernel.
- A simple estimator for nonlinear error in variable models
- Empirical likelihood estimation and consistent tests with conditional moment restrictions
- Estimating linear regressions with mismeasured, possibly endogenous, binary explanatory variables
- Nonparametric estimation equations for time series data.
- Choice as an alternative to control in observational studies. (With comments and a rejoinder).
- A well-conditioned estimator for large-dimensional covariance matrices
- Dynamic employment and hours effects of government spending shocks
- A Bayesian approach to dynamic macroeconomics
- A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
- Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
- Jackknife minimum distance estimation.
- Efficient GMM estimation of weak AR processes.
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