Select the valid and relevant moments: an information-based Lasso for GMM with many moments
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Cites work
- A Consistent Method for the Selection of Relevant Instruments
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- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
- Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
- Bonferroni-based size-correction for nonstandard testing problems
- Choosing instrumental variables in conditional moment restriction models
- Choosing the Number of Instruments
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Constructing optimal instruments by first-stage prediction averaging
- Convergence of stochastic processes
- Convergence rates and asymptotic normality for series estimators
- Efficient estimation of panel data models with strictly exogenous explanatory variables
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Hybrid and Size-Corrected Subsampling Methods
- Inference on treatment effects after selection among high-dimensional controls
- Information criteria for impulse response function matching estimation of DSGE models
- Information in generalized method of moments estimation and entropy-based moment selection
- Instrumental variable estimation in the presence of many moment conditions
- Large Sample Properties of Generalized Method of Moments Estimators
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
- On methods of sieves and penalization
- Random Effects Estimators with many Instrumental Variables
- Redundancy of moment conditions
- Selecting instrumental variables in a data rich environment
- Simulation and the Asymptotics of Optimization Estimators
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Sparse models and methods for optimal instruments with an application to eminent domain
- The Adaptive Lasso and Its Oracle Properties
- The Estimation of Economic Relationships using Instrumental Variables
- The impact of a Hausman pretest on the asymptotic size of a hypothesis test
- The validity of instruments revisited
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Weak convergence and empirical processes. With applications to statistics
Cited in
(26)- Shrinkage GMM estimation in conditional moment restriction models
- Inference in partially identified models with many moment inequalities using Lasso
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- Adaptive k-class estimation in high-dimensional linear models
- On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
- Information in generalized method of moments estimation and entropy-based moment selection
- Two robust tools for inference about causal effects with invalid instruments
- Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Testing endogeneity with high dimensional covariates
- Oracle GMM estimation for misspecified models via thresholding
- On the use of the Lasso for instrumental variables estimation with some invalid instruments
- GMM quantile regression
- Econometric estimation with high-dimensional moment equalities
- Moment and IV selection approaches: a comparative simulation study
- A new scope of penalized empirical likelihood with high-dimensional estimating equations
- On the relevance of weaker instruments
- Improving consistent moment selection procedures for generalized method of moments estimation
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Adaptive GMM shrinkage estimation with consistent moment selection
- Inference for high-dimensional instrumental variables regression
- Minimizing sensitivity to model misspecification
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Robust estimation and moment selection in dynamic fixed-effects panel data models
- Culling the Herd of Moments with Penalized Empirical Likelihood
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