Improving consistent moment selection procedures for generalized method of moments estimation

DOI10.1016/J.ECONLET.2006.11.011MaRDI QIDQ1934071zbMATH OpenOpenAlexFDO

Authors Jean-Bernard Chatelain

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.11.011

zbMATH Keywords

consistent moment selectiontest of over-identifying restrictionstest of subset of over-identifying restrictions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10)

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Cites work

• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• A time series analysis of representative agent models of consumption and leisure choice under uncertainty
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• Order estimation in ARMA-models by Lagrangian multiplier tests
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

Cited in

(16)

• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Information in generalized method of moments estimation and entropy-based moment selection
• GEL criteria for moment condition models
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• The weighted method of moments approach for moment condition models
• Entropy-Based Moment Selection in the Presence of Weak Identification
• Robust small sample accurate inference in moment condition models
• Optimal bandwidth selection for robust generalized method of moments estimation
• Moment and IV selection approaches: a comparative simulation study
• Generalized method of moments and inverse control
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Generalization of GMM to a continuum of moment conditions
• Method-of-moments estimation and choice of instruments: numerical computations
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Adaptive GMM shrinkage estimation with consistent moment selection
• A bootstrap approach to moment selection

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