One-Step Estimators for Over-Identified Generalized Method of Moments Models
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Cited in
(77)- On weighting of bivariate margins in pairwise likelihood
- Improved instrumental variables and generalized method of moments estimators
- An MCMC approach to classical estimation.
- Empirical likelihood estimation and consistent tests with conditional moment restrictions
- Testing conditional moment restrictions
- Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
- Testing with exponentially tilted empirical likelihood
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- GEL estimation and tests of spatial autoregressive models
- Inference functions and quadratic score tests
- Generalized empirical likelihood specification test robust to local misspecification
- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
- Confidence intervals in generalized method of moments models
- Generalized empirical likelihood non-nested tests
- Sample selection and information-theoretic alternatives to GMM
- Connections between entropic and linear projections in asset pricing estimation
- Limited information likelihood and Bayesian analysis
- Robust small sample accurate inference in moment condition models
- Method-of-moments estimation and choice of instruments: numerical computations
- Robust empirical likelihood
- The empirical saddlepoint estimator
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- GMM and misspecification correction for misspecified models with diverging number of parameters
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- On the computational complexity of MCMC-based estimators in large samples
- Tests of additional conditional moment restrictions
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Neglected heterogeneity in moment condition models
- An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Optimally combining censored and uncensored datasets
- Estimation with overidentifying inequality moment conditions
- Efficient information theoretic inference for conditional moment restrictions
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- On the asymptotic efficiency of GMM
- On the second-order properties of empirical likelihood with moment restrictions
- An adaptive empirical likelihood test for parametric time series regression models
- Generalized empirical likelihood tests in time series models with potential identification failure
- Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
- MOMENT-BASED INFERENCE WITH STRATIFIED DATA
- GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
- Count data models with correlated unobserved heterogeneity
- GEL criteria for moment condition models
- Bayesian Estimation and Comparison of Moment Condition Models
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
- The Information Geometric Structure of Generalized Empirical Likelihood Estimators
- Semiparametric inference with a functional-form empirical likelihood
- A Stopping Rule for the Computation of Generalized Method of Moments Estimators
- Divergences and duality for estimation and test under moment condition models
- \(R\)-estimates vs. GMM: a theoretical case study of validity and efficiency
- A general class of non-nested test statistics for models defined through moment restrictions
- ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
- GEL statistics under weak identification
- ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
- Moderate deviations of generalized method of moments and empirical likelihood estimators
- Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
- Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
- A new class of tests for overidentifying restrictions in moment condition models
- Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
- Criterion-based inference for GMM in autoregressive panel data models.
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- A higher-order correct fast moving-average bootstrap for dependent data
- Robust inference for moment condition models without rational expectations
- Empirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown Functions
- Gaussian Processes and Bayesian Moment Estimation
- A unified approach for synthesizing population-level covariate effect information in semiparametric estimation with survival data
- An approximated exponentially tilted empirical likelihood estimator of moment condition models
- Optimally-transported generalized method of moments
- A new class of asymptotically efficient estimators for moment condition models
- Adjusted empirical likelihood for right censored lifetime data
- Edgeworth expansions for GEL estimators
- An alternative two-step generalized method of moments estimator based on a reduced form model
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Adjusted empirical likelihood with high-order precision
- Point estimation with exponentially tilted empirical likelihood
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