Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data

DOI10.1080/07474938.2014.966630zbMATH Open1491.62214OpenAlexW2055951904MaRDI QIDQ5864360FDOQ5864360

Authors: Alain Guay, Florian Pelgrin 

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.966630

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zbMATH Keywords

generalized method of momentsinformation-based inferenceimplied probabilitieslinear rational expectation models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Empirical likelihood and general estimating equations
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Title not available (Why is that?)
• Information Theoretic Approaches to Inference in Moment Condition Models
• GMM with Weak Identification
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Point estimation with exponentially tilted empirical likelihood
• Automatic Lag Selection in Covariance Matrix Estimation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• GEL criteria for moment condition models
• Implied Probabilities in GMM Estimators
• Miscellanea. Bartlett adjustment of empirical discrepancy statistics
• The Solution of Linear Difference Models under Rational Expectations
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Efficient Semiparametric Estimation of Expectations
• Finite Sample Properties of the Two-Step Empirical Likelihood Estimator
• A new class of asymptotically efficient estimators for moment condition models

Cited In (2)

• On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
• Implied Probabilities in GMM Estimators

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