Select the valid and relevant moments: an information-based Lasso for GMM with many moments
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Publication:494181
DOI10.1016/J.JECONOM.2015.02.019zbMATH Open1331.62459OpenAlexW3125970533MaRDI QIDQ494181FDOQ494181
Authors: Xu Cheng, Zhipeng Liao 
Publication date: 31 August 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.019
Recommendations
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Improving consistent moment selection procedures for generalized method of moments estimation
- Adaptive GMM shrinkage estimation with consistent moment selection
- Moment and IV selection approaches: a comparative simulation study
- LASSO-TYPE GMM ESTIMATOR
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
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Cited In (26)
- Shrinkage GMM estimation in conditional moment restriction models
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Inference for high-dimensional instrumental variables regression
- Adaptive k-class estimation in high-dimensional linear models
- Information in generalized method of moments estimation and entropy-based moment selection
- A new scope of penalized empirical likelihood with high-dimensional estimating equations
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
- On the relevance of weaker instruments
- Robust estimation and moment selection in dynamic fixed-effects panel data models
- Two robust tools for inference about causal effects with invalid instruments
- Econometric estimation with high-dimensional moment equalities
- Minimizing sensitivity to model misspecification
- Moment and IV selection approaches: a comparative simulation study
- Culling the Herd of Moments with Penalized Empirical Likelihood
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Improving consistent moment selection procedures for generalized method of moments estimation
- GMM quantile regression
- Estimation and inference in games of incomplete information with unobserved heterogeneity and large state space
- Testing endogeneity with high dimensional covariates
- Adaptive GMM shrinkage estimation with consistent moment selection
- Inference in partially identified models with many moment inequalities using Lasso
- On the use of the Lasso for instrumental variables estimation with some invalid instruments
- Oracle GMM estimation for misspecified models via thresholding
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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