Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel

DOI10.1016/J.JECONOM.2009.10.036MaRDI QIDQ530945zbMATH OpenOpenAlexFDO

Authors Ivan A. Canay

Publication date 1 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2009.10.036

zbMATH Keywords

GMMempirical likelihood bootstrapflat-top kernelsoptimal instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 3930130 (Why is no real title available?)
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 3717984 (Why is no real title available?)
• A New Specification Test for the Validity of Instrumental Variables
• A bootstrap approach to moment selection
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Choosing instrumental variables in conditional moment restriction models
• Choosing the Number of Instruments
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• GMM with Many Moment Conditions
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Instrumental variable estimation in the presence of many moment conditions
• Multivariate density estimation with general flat-top kernels of infinite order
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Optimal instrumental variables estimation for ARMA models
• Random Effects Estimators with many Instrumental Variables

Cited in

(6)

• Higher order mean squared error of generalized method of moments estimators for nonlinear models
• Linear instrumental variables model averaging estimation
• Regularized LIML for many instruments
• Moment and IV selection approaches: a comparative simulation study
• Instrumental variable model average with applications in Mendelian randomization
• Kernel-weighted GMM estimators for linear time series models

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