Information in generalized method of moments estimation and entropy-based moment selection
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Publication:280214
DOI10.1016/J.JECONOM.2006.05.006zbMATH Open1418.62459OpenAlexW2155549144MaRDI QIDQ280214FDOQ280214
Authors: Alastair Hall, Atsushi Inoue, Kalidas Jana, Changmock Shin 
Publication date: 9 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.006
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- Sample selection and information-theoretic alternatives to GMM
Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cites Work
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- Estimating the dimension of a model
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- Instrumental Variables Regression with Weak Instruments
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- Redundancy of moment conditions
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Empirical likelihood
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- A Consistent Method for the Selection of Relevant Instruments
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- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- A compendium to information theory in economics and econometrics
- Judging Instrument Relevance in Instrumental Variables Estimation
- Title not available (Why is that?)
- Entropy expressions and their estimators for multivariate distributions
Cited In (31)
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- On the asymptotic efficiency of GMM
- Structural Equation Model Averaging: Methodology and Application
- Consistent estimation of linear panel data models with measurement error
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Is time preference different across incomes and countries?
- Linear instrumental variables model averaging estimation
- Improved generalized method of moments estimators for weakly dependent observations
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- A GMM approach to estimate the roughness of stochastic volatility
- The optimal choice of moments in dynamic panel data models
- Examining bias in estimators of linear rational expectations models under misspecification
- Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
- Generalized moment based estimation and inference
- Robust estimation and moment selection in dynamic fixed-effects panel data models
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Econometric estimation with high-dimensional moment equalities
- Entropy-Based Moment Selection in the Presence of Weak Identification
- Culling the Herd of Moments with Penalized Empirical Likelihood
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
- Inference about long run canonical correlations
- Information Theoretic and Entropy Methods: An Overview
- Sample selection and information-theoretic alternatives to GMM
- Nonparametric instrument model averaging
- Information criteria for impulse response function matching estimation of DSGE models
- A comparative study of three data-based methods of instrument selection
- Contemporaneous and long run canonical correlations in the linear IV model: implications for instrument selection
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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