CUE with many weak instruments and nearly singular design

DOI10.1016/J.JECONOM.2012.05.014zbMATH Open1443.62435OpenAlexW1970026677WikidataQ57430336 ScholiaQ57430336MaRDI QIDQ528057FDOQ528057

Authors: Neşe Yildiz, Mehmet Caner 

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/S0304407612001261

Recommendations

• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• Properties of the CUE estimator and a modification with moments
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Efficient GMM with nearly-weak instruments
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics

zbMATH Keywords

biasvariancesingular matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Generalization of GMM to a continuum of moment conditions
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Title not available (Why is that?)
• Asymptotics for Lasso-type estimators.
• Generalized Method of Moments With Many Weak Moment Conditions
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimating Vector Autoregressions with Panel Data
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• LASSO-TYPE GMM ESTIMATOR
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Title not available (Why is that?)
• The Range of the Adjugate Map
• SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS

Cited In (4)

• Efficient estimation with many weak instruments using regularization techniques
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Finite sample properties of the GMM Anderson-Rubin test
• Properties of the CUE estimator and a modification with moments

This page was built for publication: CUE with many weak instruments and nearly singular design

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528057)