One-Step Estimators for Over-Identified Generalized Method of Moments Models

From MaRDI portal
Publication:4368685

DOI10.2307/2971718zbMath0889.90039OpenAlexW2113886783WikidataQ108879812 ScholiaQ108879812MaRDI QIDQ4368685

Guido W. Imbens

Publication date: 4 December 1997

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2971718



Related Items

Efficient information theoretic inference for conditional moment restrictions, On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood, Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models, On the second-order properties of empirical likelihood with moment restrictions, An adaptive empirical likelihood test for parametric time series regression models, Generalized empirical likelihood tests in time series models with potential identification failure, Optimally combining censored and uncensored datasets, Estimation with overidentifying inequality moment conditions, The empirical saddlepoint estimator, On the computational complexity of MCMC-based estimators in large samples, Tests of additional conditional moment restrictions, Robust small sample accurate inference in moment condition models, Semiparametric inference with a functional-form empirical likelihood, Method-of-moments estimation and choice of instruments: numerical computations, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, An MCMC approach to classical estimation., A higher-order correct fast moving-average bootstrap for dependent data, Empirical likelihood estimation and consistent tests with conditional moment restrictions, Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, The Information Geometric Structure of Generalized Empirical Likelihood Estimators, Divergences and duality for estimation and test under moment condition models, \(R\)-estimates vs. GMM: a theoretical case study of validity and efficiency, Testing conditional moment restrictions, ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION, Finite Sample Properties of the Two-Step Empirical Likelihood Estimator, A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS, Testing with exponentially tilted empirical likelihood, GEL estimation and tests of spatial autoregressive models, Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions, GEL statistics under weak identification, Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors, Inference functions and quadratic score tests, Moderate deviations of generalized method of moments and empirical likelihood estimators, Adjusted empirical likelihood with high-order precision, Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias, ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS, Generalized empirical likelihood specification test robust to local misspecification, Criterion-based inference for GMM in autoregressive panel data models., Point estimation with exponentially tilted empirical likelihood, Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics, Neglected heterogeneity in moment condition models, An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification, Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators, Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators, On weighting of bivariate margins in pairwise likelihood, A new class of asymptotically efficient estimators for moment condition models, GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION, MOMENT-BASED INFERENCE WITH STRATIFIED DATA, GEL METHODS FOR NONSMOOTH MOMENT INDICATORS, Adjusted empirical likelihood for right censored lifetime data, GMM and misspecification correction for misspecified models with diverging number of parameters, Edgeworth expansions for GEL estimators, Count Data Models with Correlated Unobserved Heterogeneity, GEL CRITERIA FOR MOMENT CONDITION MODELS, An alternative two-step generalized method of moments estimator based on a reduced form model, Improved instrumental variables and generalized method of moments estimators, Bayesian Estimation and Comparison of Moment Condition Models, Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators, A new class of tests for overidentifying restrictions in moment condition models, Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification, The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis., Confidence intervals in generalized method of moments models, Generalized empirical likelihood non-nested tests, Sample selection and information-theoretic alternatives to GMM, Connections between entropic and linear projections in asset pricing estimation, Limited information likelihood and Bayesian analysis, Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification, ON THE ASYMPTOTIC EFFICIENCY OF GMM, Robust empirical likelihood