Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
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Publication:530945
DOI10.1016/J.JECONOM.2009.10.036zbMATH Open1431.62593OpenAlexW2094616350MaRDI QIDQ530945FDOQ530945
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
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Cites Work
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- Choosing the Number of Instruments
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- GMM with Many Moment Conditions
- A New Specification Test for the Validity of Instrumental Variables
- Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
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- Random Effects Estimators with many Instrumental Variables
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- A bootstrap approach to moment selection
- Choosing instrumental variables in conditional moment restriction models
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- Instrumental variable estimation in the presence of many moment conditions
- Optimal instrumental variables estimation for ARMA models
- Multivariate density estimation with general flat-top kernels of infinite order
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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