Information in generalized method of moments estimation and entropy-based moment selection
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Recommendations
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Cites work
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- scientific article; zbMATH DE number 3271181 (Why is no real title available?)
- A Consistent Method for the Selection of Relevant Instruments
- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
- A compendium to information theory in economics and econometrics
- A new look at the statistical model identification
- An Optimum Property of Regular Maximum Likelihood Estimation
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Diagnostic testing and evaluation of maximum likelihood models
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood ratio confidence intervals for a single functional
- Entropy expressions and their estimators for multivariate distributions
- Estimating the dimension of a model
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Improving generalised estimating equations using quadratic inference functions
- Instrumental Variables Regression with Weak Instruments
- Judging Instrument Relevance in Instrumental Variables Estimation
- Large Sample Properties of Generalized Method of Moments Estimators
- Redundancy of moment conditions
Cited in
(31)- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Examining bias in estimators of linear rational expectations models under misspecification
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Sample selection and information-theoretic alternatives to GMM
- 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
- Generalized moment based estimation and inference
- Nonparametric instrument model averaging
- Is time preference different across incomes and countries?
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- The optimal choice of moments in dynamic panel data models
- Information criteria for impulse response function matching estimation of DSGE models
- Entropy-Based Moment Selection in the Presence of Weak Identification
- On the asymptotic efficiency of GMM
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- A GMM approach to estimate the roughness of stochastic volatility
- Econometric estimation with high-dimensional moment equalities
- Structural Equation Model Averaging: Methodology and Application
- Linear instrumental variables model averaging estimation
- Consistent estimation of linear panel data models with measurement error
- Information Theoretic and Entropy Methods: An Overview
- Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
- Inference about long run canonical correlations
- Robust estimation and moment selection in dynamic fixed-effects panel data models
- Culling the Herd of Moments with Penalized Empirical Likelihood
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
- Improved generalized method of moments estimators for weakly dependent observations
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