Consistent Estimation of Models Defined by Conditional Moment Restrictions
From MaRDI portal
Publication:5475056
DOI10.1111/j.1468-0262.2004.00545.xzbMath1141.91635OpenAlexW2139772358MaRDI QIDQ5475056
Manuel Domínguez, Ignacio N. Lobato
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00545.x
Related Items (49)
An equivalence result for moment equations when data are missing at random ⋮ Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ The indirect continuous-GMM estimation ⋮ Choosing instrumental variables in conditional moment restriction models ⋮ A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS ⋮ Inference on endogenously censored regression models using conditional moment inequalities ⋮ Testing semiparametric conditional moment restrictions using conditional martingale transforms ⋮ GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS ⋮ Efficient estimation in models with independence restrictions ⋮ Inference in semiparametric conditional moment models with partial identification ⋮ Inference on conditional moment restriction models with generated variables ⋮ Minimum distance from independence estimation of nonseparable instrumental variables models ⋮ New test statistics for hypothesis testing of parameters in conditional moment restriction models ⋮ Tests of additional conditional moment restrictions ⋮ A simple derivation of the efficiency bound for conditional moment restriction models ⋮ A local generalized method of moments estimator ⋮ Specification testing with estimated variables ⋮ Optimal minimax rates of specification testing with data-driven bandwidth ⋮ Fixed‐effects binary choice models with three or more periods ⋮ Yet another look at the omitted variable bias ⋮ A NOTE ON GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATION OF SEMIPARAMETRIC CONDITIONAL MOMENT RESTRICTION MODELS ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Inference in models with partially identified control functions ⋮ Unnamed Item ⋮ IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA ⋮ Smooth minimum distance estimation and testing with conditional estimating equations: uniform in bandwidth theory ⋮ Conditional moment models under semi-strong identification ⋮ ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS ⋮ TESTING UNDER WEAK IDENTIFICATION WITH CONDITIONAL MOMENT RESTRICTIONS ⋮ A regularization approach to the many instruments problem ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification ⋮ A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ Endogeneity in high dimensions ⋮ Consistent estimation with many moment inequalities ⋮ Model equivalence tests in a parametric framework ⋮ Set identification of the censored quantile regression model for short panels with fixed effects ⋮ Specification tests for the propensity score ⋮ Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments ⋮ On the identification of models with conditional characteristic functions ⋮ Testing for non-nested conditional moment restrictions using unconditional empirical likelihood ⋮ Testing the martingale difference hypothesis using integrated regression functions ⋮ TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD ⋮ GMM and misspecification correction for misspecified models with diverging number of parameters ⋮ Semiparametric optimal estimation with nonignorable nonresponse data ⋮ Worst-case estimation for econometric models with unobservable components ⋮ Estimating multinomial choice models with unobserved choice sets ⋮ GMM estimation of a realized stochastic volatility model: A Monte Carlo study
This page was built for publication: Consistent Estimation of Models Defined by Conditional Moment Restrictions
