Kernel-weighted GMM estimators for linear time series models
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Cites work
- scientific article; zbMATH DE number 3875591 (Why is no real title available?)
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 88841 (Why is no real title available?)
- scientific article; zbMATH DE number 131054 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- A bootstrap approach to moment selection
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- A regularization approach to the many instruments problem
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- Automatic Lag Selection in Covariance Matrix Estimation
- Choosing instrumental variables in conditional moment restriction models
- Choosing the Number of Instruments
- Constructing optimal instruments by first-stage prediction averaging
- EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
- Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Instrumental variable estimation in the presence of many moment conditions
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- Optimal instrumental variables estimation for ARMA models
- Prediction of multivariate time series by autoregressive model fitting
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- The commutation matrix: Some properties and applications
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(10)- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- Improved generalized method of moments estimators for weakly dependent observations
- scientific article; zbMATH DE number 5583200 (Why is no real title available?)
- Regularized LIML for many instruments
- A regularization approach to the many instruments problem
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Estimating and testing for smooth structural changes in moment condition models
- Regularized estimation of dynamic panel models
- Local generalized method of moments estimation based on kernel weights: An application to panel data
- Local GMM estimation of time series models with conditional moment restrictions
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