GMM with Weak Identification

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (only showing first 100 items - show all)

LASSO-TYPE GMM ESTIMATOR
Instrumental variable quantile regression: a robust inference approach
Testing for weak identification in possibly nonlinear models
Combining estimators to improve structural model estimation and inference under quadratic loss
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
Simple and trustworthy cluster-robust GMM inference
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
GMM estimation and uniform subvector inference with possible identification failure
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
Linear instrumental variables model averaging estimation
Impulse response matching estimators for DSGE models
Efficient GMM with nearly-weak instruments
Efficient minimum distance estimation with multiple rates of convergence
The weak instrument problem of the system GMM estimator in dynamic panel data models
Nonlinear cointegrating regression under weak identification
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
Bootstrap validity for the score test when instruments may be weak
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
Weak Instrumental Variables Models for Longitudinal Data
Confidence intervals in generalized method of moments models
ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
Testing, Estimation in GMM and CUE with Nearly-Weak Identification
GMM estimation of the new Phillips curve.
Improving confidence set estimation when parameters are weakly identified
Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
OLS and IV estimation of regression models including endogenous interaction terms
Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
Almost sure uniqueness of a global minimum without convexity
Robust inference in nonlinear models with mixed identification strength
Properties of the CUE estimator and a modification with moments
The validity of instruments revisited
Testing Endogeneity with High Dimensional Covariates
Tests with correct size when instruments can be arbitrarily weak
A new method of projection-based inference in GMM with weakly identified nuisance parameters
Maximum likelihood estimation and uniform inference with sporadic identification failure
Empirical likelihood for regression discontinuity design
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
Long difference instrumental variables estimation for dynamic panel models with fixed effects
Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
Finite sample inference for quantile regression models
Implied Probabilities in GMM Estimators
Hahn-Hausman test as a specification test
Second-order refinement of empirical likelihood for testing overidentifying restrictions
A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION
GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS
GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
GEL statistics under weak identification
Chi-squared tests for evaluation and comparison of asset pricing models
Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
Underidentification?
Semi-parametric estimation of American option prices
DETECTING LACK OF IDENTIFICATION IN GMM
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Exact tests of the stability of the Phillips curve: the Canadian case
Wild bootstrap inference for instrumental variables regressions with weak and few clusters
Inference in structural vector autoregressions identified with an external instrument
On robust GMM estimation with applications in economics and finance
Statistical inference in dynamic panel data models
STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA
Locally robust inference for non-Gaussian SVAR models
Editors' introduction
Score tests in GMM: why use implied probabilities?
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
ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS
A conditional linear combination test with many weak instruments
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
Finite sample properties of the GMM Anderson–Rubin test
Identification strength with a large number of moments
Structural change tests for GEL criteria
On the estimation of total factor productivity: a novel Bayesian non-parametric approach
A comparison of testing and estimation of firm conduct
Location Properties of Point Estimators in Linear Instrumental Variables and Related Models
An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data
Quasi-Bayesian model selection
The asymptotic properties of GMM and indirect inference under second-order identification
Projection-based inference with particle swarm optimization
Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models

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