Moment and IV selection approaches: a comparative simulation study

DOI10.1080/07474938.2015.1092804MaRDI QIDQ5864513zbMATH OpenOpenAlexWikidataFDO

Authors Mehmet Caner, Esfandiar Maasoumi, Juan Andrés Riquelme

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2015.1092804

zbMATH Keywords

averagingMonte Carloshrinkage

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

Recommendations

• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Choosing instrumental variables in conditional moment restriction models
• Improving consistent moment selection procedures for generalized method of moments estimation

Cites work

• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Constructing optimal instruments by first-stage prediction averaging
• Generalized empirical likelihood-based model selection criteria for moment condition models
• Instrumental variable estimation in the presence of many moment conditions
• Large Sample Properties of Generalized Method of Moments Estimators
• LASSO-TYPE GMM ESTIMATOR
• Least Squares Model Averaging
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
• Testing with many weak instruments
• The Adaptive Lasso and Its Oracle Properties
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

Cited in

(4)

• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
• Model Selection and Shrinkage: An Overview
• Econometric Reviews honors Esfandiar Maasoumi

This page was built for publication: Moment and IV selection approaches: a comparative simulation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864513)