Identification strength with a large number of moments

DOI10.1080/07474938.2020.1771903MaRDI QIDQ5861019zbMATH OpenOpenAlexFDO

Authors Hyojin Han, Eric Renault

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/135582/1/WRAP-Identification-strength-large-number-moments-Renault-2020.pdf

zbMATH Keywords

alternative asymptotic theorygeneralized method of momentsweak identification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

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• GMM with Many Moment Conditions
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Cites work

• A local generalized method of moments estimator
• Alternative asymptotics and the partially linear model with many regressors
• Consistent Estimation with a Large Number of Weak Instruments
• Discontinuities of weak instrument limiting distributions.
• Efficient derivative pricing by the extended method of moments
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Efficient GMM with nearly-weak instruments
• Efficient minimum distance estimation with multiple rates of convergence
• Estimation and inference with weak, semi-strong, and strong identification
• Generalized Method of Moments With Many Weak Moment Conditions
• GMM with Many Moment Conditions
• GMM with Weak Identification
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Inference in regression models with many regressors
• Instrumental variable estimation with heteroskedasticity and many instruments
• Instrumental Variables Regression with Weak Instruments
• Large Sample Properties of Generalized Method of Moments Estimators
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Robust inference in nonlinear models with mixed identification strength
• Testing identification strength

Cited in

(1)

• GMM with Many Moment Conditions

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