A jackknife interpretation of the continuous updating estimator

DOI10.1016/S0165-1765(99)00281-5zbMATH Open0951.91061MaRDI QIDQ1978760FDOQ1978760

Stephen G. Donald, Whitney Newey

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

biasgeneralized method of momentsinstrumental variablesjackknifecontinuous updating estimator

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Instrumental Variable Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Efficient Estimation of Simultaneous Equation Systems

Cited In (10)

• Finite sample properties of the GMM Anderson–Rubin test
• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• A simple consistent specification test
• A new class of asymptotically efficient estimators for moment condition models
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Properties of the CUE estimator and a modification with moments
• Jackknife instrumental variable estimation with heteroskedasticity
• Finite-sample corrected inference for two-step GMM in time series
• Generalized method of moments specification testing
• Local GMM estimation of time series models with conditional moment restrictions

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