Oracle GMM estimation for misspecified models via thresholding

DOI10.1080/03610926.2018.1472786OpenAlexW2901217296WikidataQ128815612 ScholiaQ128815612MaRDI QIDQ5083448FDOQ5083448

Authors: Presnell, Brett, M. Giurcanu 

Publication date: 20 June 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1472786

zbMATH Keywords

measurement errormisspecified modelsoracle propertythresholdinginstrumental variable regressionvector autoregressive time seriesGMM inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Time series: theory and methods.
• The Adaptive Lasso and Its Oracle Properties
• Asymptotic Statistics
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• Identification of Causal Effects Using Instrumental Variables
• Title not available (Why is that?)
• Another look at the instrumental variable estimation of error-components models
• Empirical likelihood and general estimating equations
• Resampling methods for dependent data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Asymptotics for Lasso-type estimators.
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Information Theoretic Approaches to Inference in Moment Condition Models
• Real Analysis and Probability
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• The bootstrap and Edgeworth expansion
• On blocking rules for the bootstrap with dependent data
• Measurement Error in Linear Autoregressive Models
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Combining Micro and Macro Data in Microeconometric Models
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Title not available (Why is that?)
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS
• Order estimation in ARMA-models by Lagrangian multiplier tests
• the Block-Block Bootstrap: Improved Asymptotic Refinements
• LASSO-TYPE GMM ESTIMATOR
• Thresholding least-squares inference in high-dimensional regression models
• ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
• Bootstrap confidence bands for spectra and cross-spectra
• Asymptotic optimality of new adaptive test in regression model
• Resampling a coverage pattern
• Bootstrap inference for misspecified moment condition models
• Oracle M‐Estimation for Time Series Models

This page was built for publication: Oracle GMM estimation for misspecified models via thresholding

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5083448)