Over-identified doubly robust identification and estimation

DOI10.1016/J.JECONOM.2022.01.009MaRDI QIDQ6163265zbMATH OpenOpenAlexFDO

Authors Arthur Lewbel, Jin Young Choi, Zhuzhu Zhou

Publication date 9 June 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://fmwww.bc.edu/EC-P/wp1003.pdf

zbMATH Keywords

average treatment effectsdoubly robust estimationgeneralized method of momentsinstrumental variablesparametric models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Adaptive GMM shrinkage estimation with consistent moment selection
• Adjusting for Nonignorable Drop-Out Using Semiparametric Nonresponse Models
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Constructing optimal instruments by first-stage prediction averaging
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Estimation of Regression Coefficients When Some Regressors Are Not Always Observed
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Hypothesis Testing with Efficient Method of Moments Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• LASSO-TYPE GMM ESTIMATOR
• Least Squares Model Averaging
• Limited information likelihood and Bayesian analysis
• Linear instrumental variables model averaging estimation
• Overidentification in regular models
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Using invalid instruments on purpose: focused moment selection and averaging for GMM

Cited in

(1)

• Analysis of over-sampling based identification

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