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

DOI10.2307/2971718zbMATH Open0889.90039OpenAlexW2113886783WikidataQ108879812 ScholiaQ108879812MaRDI QIDQ4368685FDOQ4368685

Authors: Guido W. Imbens 

Publication date: 4 December 1997

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

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

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zbMATH Keywords

generalized method of momentsGMM estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cited In (73)

• Count data models with correlated unobserved heterogeneity
• A higher-order correct fast moving-average bootstrap for dependent data
• A unified approach for synthesizing population-level covariate effect information in semiparametric estimation with survival data
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
• Robust inference for moment condition models without rational expectations
• Empirical Likelihood Ratio Tests of Conditional Moment Restrictions With Unknown Functions
• Gaussian Processes and Bayesian Moment Estimation
• ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
• Criterion-based inference for GMM in autoregressive panel data models.
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Neglected heterogeneity in moment condition models
• A general class of non-nested test statistics for models defined through moment restrictions
• Tests of additional conditional moment restrictions
• GMM and misspecification correction for misspecified models with diverging number of parameters
• On the asymptotic efficiency of GMM
• Semiparametric inference with a functional-form empirical likelihood
• Edgeworth expansions for GEL estimators
• Robust small sample accurate inference in moment condition models
• An MCMC approach to classical estimation.
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• GEL METHODS FOR NONSMOOTH MOMENT INDICATORS
• On the computational complexity of MCMC-based estimators in large samples
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• Large sample properties of the three-step Euclidean likelihood estimators under model misspecification
• GEL estimation and tests of spatial autoregressive models
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Combining empirical likelihood and generalized method of moments estimators: asymptotics and higher order bias
• 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
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• An adaptive empirical likelihood test for parametric time series regression models
• On the second-order properties of empirical likelihood with moment restrictions
• Connections between entropic and linear projections in asset pricing estimation
• The Information Geometric Structure of Generalized Empirical Likelihood Estimators
• Generalized empirical likelihood tests in time series models with potential identification failure
• Robust empirical likelihood
• Confidence intervals in generalized method of moments models
• Limited information likelihood and Bayesian analysis
• Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
• \(R\)-estimates vs. GMM: a theoretical case study of validity and efficiency
• A new class of asymptotically efficient estimators for moment condition models
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Testing with exponentially tilted empirical likelihood
• The empirical saddlepoint estimator
• Improved instrumental variables and generalized method of moments estimators
• GEL criteria for moment condition models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• A new class of tests for overidentifying restrictions in moment condition models
• Generalized empirical likelihood non-nested tests
• Method-of-moments estimation and choice of instruments: numerical computations
• Sample selection and information-theoretic alternatives to GMM
• Adjusted empirical likelihood for right censored lifetime data
• An alternative two-step generalized method of moments estimator based on a reduced form model
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Divergences and duality for estimation and test under moment condition models
• Bayesian Estimation and Comparison of Moment Condition Models
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Moderate deviations of generalized method of moments and empirical likelihood estimators
• On weighting of bivariate margins in pairwise likelihood
• Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
• Generalized empirical likelihood specification test robust to local misspecification
• Adjusted empirical likelihood with high-order precision
• Point estimation with exponentially tilted empirical likelihood
• Optimally combining censored and uncensored datasets
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• Estimation with overidentifying inequality moment conditions
• Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
• Inference functions and quadratic score tests
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Testing conditional moment restrictions
• GEL statistics under weak identification

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