GMM with Weak Identification
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Publication:4530981
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Cited in
(only showing first 100 items - show all)- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- Exact tests of the stability of the Phillips curve: the Canadian case
- Inference in structural vector autoregressions identified with an external instrument
- Instrumental variable quantile regression: a robust inference approach
- Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
- Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
- Statistical inference in dynamic panel data models
- LASSO-TYPE GMM ESTIMATOR
- Wild bootstrap inference for instrumental variables regressions with weak and few clusters
- Combining estimators to improve structural model estimation and inference under quadratic loss
- Testing for weak identification in possibly nonlinear models
- On robust GMM estimation with applications in economics and finance
- Valid Inference in Partially Unstable Generalized Method of Moments Models
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Choosing instrumental variables in conditional moment restriction models
- On the structure of IV estimands
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Locally robust inference for non-Gaussian SVAR models
- Score tests in GMM: why use implied probabilities?
- Simple and trustworthy cluster-robust GMM inference
- Editors' introduction
- IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
- Averaging of an increasing number of moment condition estimators
- Consistent estimation with many moment inequalities
- Estimation uncertainty in structural inflation models with real wage rigidities
- Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
- GMM estimation and uniform subvector inference with possible identification failure
- Inference in second-order identified models
- Inference of local regression in the presence of nuisance parameters
- Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
- Testing identification strength
- Identification in a generalization of bivariate probit models with dummy endogenous regressors
- A conditional linear combination test with many weak instruments
- The zero-information-limit condition and spurious inference in weakly identified models
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
- Identification strength with a large number of moments
- Structural change tests for GEL criteria
- Impulse response matching estimators for DSGE models
- Linear instrumental variables model averaging estimation
- On the estimation of total factor productivity: a novel Bayesian non-parametric approach
- A comparison of testing and estimation of firm conduct
- Efficient GMM with nearly-weak instruments
- Efficient minimum distance estimation with multiple rates of convergence
- The asymptotic distribution of the LIML estimator in a partially identified structural equation
- Testing Parameters in GMM Without Assuming that They Are Identified
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- The weak instrument problem of the system GMM estimator in dynamic panel data models
- Generalized empirical likelihood tests in time series models with potential identification failure
- Examining bias in estimators of linear rational expectations models under misspecification
- Weak identification robust tests in an instrumental quantile model
- The asymptotic properties of GMM and indirect inference under second-order identification
- Bootstrap validity for the score test when instruments may be weak
- Testing under weak identification with conditional moment restrictions
- Nonlinear cointegrating regression under weak identification
- Quasi-Bayesian model selection
- Nearly-singular design in GMM and generalized empirical likelihood estimators
- Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
- Efficient forecast tests for conditional policy forecasts
- Projection-based inference with particle swarm optimization
- Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
- Confidence intervals in generalized method of moments models
- Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
- On the relevance of weaker instruments
- Structural change tests based on implied probabilities for gel criteria
- GMM estimation of the new Phillips curve.
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
- Optimal decision rules for weak GMM
- Improving confidence set estimation when parameters are weakly identified
- Conditional moment models under semi-strong identification
- Identification-robust nonparametric inference in a linear IV model
- Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
- Identification and inference in two-pass asset pricing models
- Generalized Method of Moments With Many Weak Moment Conditions
- Finite sample properties of the GMM Anderson-Rubin test
- A statistical procedure for testing financial contagion
- Historical simulation approach to the estimation of stochastic discount factor models
- Entropy-Based Moment Selection in the Presence of Weak Identification
- The empirical saddlepoint estimator
- Detecting lack of identification in GMM
- A dynamic network model of the unsecured interbank lending market
- Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
- Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
- Location properties of point estimators in linear instrumental variables and related models
- Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
- Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
- Culling the Herd of Moments with Penalized Empirical Likelihood
- Detecting identification failure in moment condition models
- Penalized indirect inference
- Measuring Social Interaction Effects When Instruments Are Weak
- Generic results for establishing the asymptotic size of confidence sets and tests
- OLS and IV estimation of regression models including endogenous interaction terms
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Almost sure uniqueness of a global minimum without convexity
- Subset hypotheses testing and instrument exclusion in the linear IV regression
- Robust inference in nonlinear models with mixed identification strength
- Some properties of tests for parameters that can be arbitrarily close to being unidentified
- A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions
- On weak identification in structural VARMA models
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