Large Sample Properties of Generalized Method of Moments Estimators
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(only showing first 100 items - show all)- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- GEE estimation of the covariance structure of a bivariate panel data model with an application to wage dynamics and the incidence of profit-sharing in West Germany
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Efficient estimation using the characteristic function
- Variable selection in linear measurement error models via penalized score functions
- Threshold regression with endogeneity
- Multivariate marked Poisson processes and market related multidimensional information flows
- Local linear regression for data with AR errors
- Multiscale adaptive marginal analysis of longitudinal neuroimaging data with time-varying covariates
- Approximating volatility diffusions with CEV-ARCH models
- Estimating causal effects from multiple cycle data in studies of in vitro fertilization
- Information-Theoretic Distribution Test with Application to Normality
- Estimation with multivariate outcomes having nonignorable item nonresponse
- The main contributions of robust statistics to statistical science and a new challenge
- The Frisch-Waugh-Lovell theorem for standard errors
- Quantifying the impacts of limited supply: the case of nursing homes
- TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
- Generalized method of trimmed moments
- Estimating structural mean models with multiple instrumental variables using the generalised method of moments
- Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations
- Positivity properties of the ARFIMA\((0,d,0)\) specifications and credibility analysis of frequency risks
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Empirical likelihood for estimating equations with missing values
- Efficient penalized estimation for linear regression model
- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- On the complexity of random satisfiability problems with planted solutions
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Size matters: covariance matrix estimation under the alternative
- Consistent estimation of linear panel data models with measurement error
- On the asymptotic efficiency of GMM
- A review of asymptotic theory of estimating functions
- Improving marginal hazard ratio estimation using quadratic inference functions
- Statistical inference in dynamic panel data models
- Enriching surveys with supplementary data and its application to studying wage regression
- Approximate Bayesian inference for agent-based models in economics: a case study
- Robust pricing under strategic trading
- Bayesian instrumental variable estimation in linear measurement error models
- Semiparametric recovery of central dimension reduction space with nonignorable nonresponse
- Count data models with correlated unobserved heterogeneity
- Frequency domain generalized empirical likelihood method
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices
- Semiparametric inference with a functional-form empirical likelihood
- Edgeworth expansions for GEL estimators
- Multiple capital inputs, \(Q\), and investment spending
- Informative estimation and selection of correlation structure for longitudinal data
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Moment conditions selection based on adaptive penalized empirical likelihood
- Estimation for discretely observed diffusions using transform functions
- Nonparametric regression with subfractional Brownian motion via Malliavin calculus
- Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs
- Local lagged adapted generalized method of moments: an innovative estimation and forecasting approach and its applications
- Convexity of probit weights
- Simulation-based estimation methods for financial time series models
- Combining conditional and unconditional moment restrictions with missing responses
- Inference on local average treatment effects for misclassified treatment
- Testing nonnested Euler conditions with quadrature-based methods of approximation
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Testing normality: a GMM approach
- Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution
- Econometrics of first-price auctions with entry and binding reservation prices
- Estimation of a panel data model with parametric temporal variation in individual effects
- Testing affine term structure models in case of transaction costs
- Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
- Combining estimators to improve structural model estimation and inference under quadratic loss
- Robust GMM tests for structural breaks
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Empirical likelihood block bootstrapping
- Testing for weak identification in possibly nonlinear models
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- On the Harris-G class of distributions: general results and application
- Estimation of relative average treatment effects with misclassification
- Robust small sample accurate inference in moment condition models
- Prediction-based estimating functions: review and new developments
- The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
- Approximate maximum likelihood for complex structural models
- A consistent bootstrapped GMM estimator for the linear model with arbitrary inequality constraints on parameters
- The econometrics of mean‐variance efficiency tests: a survey
- Iterative GMM for partially linear single-index models with partly endogenous regressors
- Estimating causal effects with hidden confounding using instrumental variables and environments
- An MCMC approach to classical estimation.
- ON SUNSPOTS, HABITS, AND MONETARY FACTS
- Modelling tail risk with tempered stable distributions: an overview
- Reopening the convergence debate: A new look at cross-country growth empirics.
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Testing the significance of cell-cycle patterns in time-course microarray data using nonparametric quadratic inference functions
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
- Asymptotic efficiency in estimation with conditional moment restrictions
- Empirical method of moments and its applications
- Modeling longitudinal INMA(1) with COM-Poisson innovation under non-stationarity: application to medical data
- Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
- Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models
- On testing overidentifying restrictions in dynamic panel data models
- Optimal estimation of Gaussian mixtures via denoised method of moments
- Some notes about inference for the lognormal diffusion process with exogenous factors
- Optimal instrumental variables estimation for ARMA models
- GMM redundancy results for general missing data problems
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