Efficient minimum distance estimation with multiple rates of convergence
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Publication:528052
DOI10.1016/J.JECONOM.2012.05.010zbMATH Open1443.62421OpenAlexW2128776670MaRDI QIDQ528052FDOQ528052
Eric Renault, Bertille Antoine
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001224
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Cited In (26)
- Testing for weak identification in possibly nonlinear models
- Score tests in GMM: why use implied probabilities?
- Averaging of an increasing number of moment condition estimators
- Superconsistent estimation and inference in structural econometric models using extreme order statistics.
- Testing identification strength
- Regularized bridge-type estimation with multiple penalties
- Identification strength with a large number of moments
- Joint confidence sets for structural impulse responses
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Efficient GMM with nearly-weak instruments
- Efficient estimation with time-varying information and the New Keynesian Phillips curve
- Bootstrap inference for instrumental variable models with many weak instruments
- Jackknife estimation of a cluster-sample IV regression model with many weak instruments
- On the relevance of weaker instruments
- Conditional moment models under semi-strong identification
- Detecting identification failure in moment condition models
- Fast algorithms for the minimum volume estimator
- Robust inference in nonlinear models with mixed identification strength
- Moment condition tests for heavy tailed time series
- Efficient two-step estimation via targeting
- A practical multivariate approach to testing volatility spillover
- Minimum distance histograms with universal performance guarantees
- ESTIMATION AND INFERENCE FOR MOMENTS OF RATIOS WITH ROBUSTNESS AGAINST LARGE TRIMMING BIAS
- Pooling estimates with different rates of convergence: a minimum \(\chi ^{2}\) approach with emphasis on a social interactions model
- SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION
- Semi-parametric estimation of American option prices
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