Optimal bandwidth selection for robust generalized method of moments estimation

DOI10.1017/S026646661400067XzbMATH Open1441.62904OpenAlexW2279247045MaRDI QIDQ3453249FDOQ3453249

Authors: Daniel Wilhelm 

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661400067x

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• A two-stage plug-in bandwidth selection and its implementation for covariance estimation
• Robust inference with GMM estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The second-order bias and mean squared error of nonlinear estimators
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Empirical likelihood and general estimating equations
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The Estimation of Economic Relationships using Instrumental Variables
• Nonlinear Regression with Dependent Observations
• Empirical likelihood ratio confidence intervals for a single functional
• Information Theoretic Approaches to Inference in Moment Condition Models
• Optimal plug-in estimators for nonparametric functional estimation
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• The Existence of Moments of k-Class Estimators
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Asymptotic expansions in the central limit theorem under moment conditions
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Optimal bandwidth choice for density-weighted averages
• Higher-order approximations for frequency domain time series regression
• Second order optimality for estimators in time series regression models
• Estimators without moments. The case of the reciprocal of a normal mean

Cited In (6)

• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
• Prewhitened long-run variance estimation robust to nonstationarity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• A higher-order correct fast moving-average bootstrap for dependent data
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

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