GMM estimation in partial linear models with endogenous covariates causing an over-identified problem

DOI10.1080/03610926.2014.901363MaRDI QIDQ3178629zbMATH OpenOpenAlexFDO

Authors Baicheng Chen, Hua Liang, Yong Zhou

Publication date 15 July 2016

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.901363

zbMATH Keywords

endogeneityinstrumental variablespresmoothingmoment restrictionpenalized GMMprofiled least square

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02)

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Cites work

• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Automatic model selection for partially linear models
• Convergence rates for parametric components in a partly linear model
• Estimation in Partially Linear Models With Missing Covariates
• Estimation in a semiparametric partially linear errors-in-variables model
• Kriging with Nonparametric Variance Function Estimation
• LASSO-TYPE GMM ESTIMATOR
• Large Sample Properties of Generalized Method of Moments Estimators
• Measurement Error in Nonlinear Models
• Nonconcave Penalized Likelihood With NP-Dimensionality
• Nonparametric regression with errors in variables
• Partially linear models with missing response variables and error-prone covariates
• Profiled forward regression for ultrahigh dimensional variable screening in semiparametric partially linear models
• Regularization and Variable Selection Via the Elastic Net
• SCAD-penalized regression in high-dimensional partially linear models
• Semiparametric Regression Analysis With Missing Response at Random
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection for partially linear models with measurement errors

Cited in

(5)

• Iterative GMM for partially linear single-index models with partly endogenous regressors
• Double penalized regularization estimation for partially linear instrumental variable models with ultrahigh dimensional instrumental variables
• Adjusted empirical likelihood inferences for varying coefficient partially non linear models with endogenous covariates
• Regularization statistical inferences for partially linear models with high dimensional endogenous covariates
• Regularizing double machine learning in partially linear endogenous models

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• Stata

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