GMM with Many Moment Conditions
From MaRDI portal
Publication:5393883
DOI10.1111/j.1468-0262.2006.00652.xzbMath1112.62136OpenAlexW2167880278MaRDI QIDQ5393883
Peter C. B. Phillips, Chirok Han
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d15/d1515.pdf
signalGMMirrelevant instrumentspanel modelsIVepiconvergencelarge numbers of instrumentsLIML estimationpseudo true valuesignal variabilityweak instrumentation
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)
Related Items (55)
Testing with many weak instruments ⋮ Linear instrumental variables model averaging estimation ⋮ The optimal choice of moments in dynamic panel data models ⋮ Econometric estimation with high-dimensional moment equalities ⋮ A rank-corrected procedure for matrix completion with fixed basis coefficients ⋮ EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL ⋮ Many IVs estimation of dynamic panel regression models with measurement error ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ Linear model IV estimation when instruments are many or weak ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS ⋮ Detecting invalid instruments using \(L_{1}\)-GMM ⋮ High dimensional semiparametric moment restriction models ⋮ A conditional linear combination test with many weak instruments ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Posterior consistency of nonparametric conditional moment restricted models ⋮ Factor-GMM estimation with large sets of possibly weak instruments ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ Conditional moment models under semi-strong identification ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA ⋮ Inference regarding multiple structural changes in linear models with endogenous regressors ⋮ CUE with many weak instruments and nearly singular design ⋮ Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE LIML ESTIMATOR IN A PARTIALLY IDENTIFIED STRUCTURAL EQUATION ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ A doubly corrected robust variance estimator for linear GMM ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Consistent estimation with many moment inequalities ⋮ GMM estimation of social interaction models with centrality ⋮ An efficient GMM estimator of spatial autoregressive models ⋮ Properties of the CUE estimator and a modification with moments ⋮ Hypothesis testing in linear regression when \(k/n\) is large ⋮ Hahn-Hausman test as a specification test ⋮ On rank estimators in increasing dimensions ⋮ SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR ⋮ A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician ⋮ Identification strength with a large number of moments ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Jackknife instrumental variable estimation with heteroskedasticity ⋮ Sequential and efficient GMM estimation of dynamic short panel data models ⋮ Estimation of Sparse Structural Parameters with Many Endogenous Variables ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels† ⋮ PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS
This page was built for publication: GMM with Many Moment Conditions