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.2015.02.019zbMath1331.62459OpenAlexW3125970533MaRDI QIDQ494181
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
Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items (18)
Econometric estimation with high-dimensional moment equalities ⋮ Robust estimation and moment selection in dynamic fixed-effects panel data models ⋮ On selection of statistics for approximate Bayesian computing (or the method of simulated moments) ⋮ Oracle GMM estimation for misspecified models via thresholding ⋮ GMM quantile regression ⋮ Adaptive k-class estimation in high-dimensional linear models ⋮ Two robust tools for inference about causal effects with invalid instruments ⋮ Minimizing sensitivity to model misspecification ⋮ Inference for high-dimensional instrumental variables regression ⋮ Shrinkage estimation of dynamic panel data models with interactive fixed effects ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ A new scope of penalized empirical likelihood with high-dimensional estimating equations ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ 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 ⋮ On the relevance of weaker instruments ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels†
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