Moment and IV Selection Approaches: A Comparative Simulation Study

DOI10.1080/07474938.2015.1092804zbMath1491.62190OpenAlexW2340090979WikidataQ57434465 ScholiaQ57434465MaRDI QIDQ5864513

Mehmet Caner, Juan Andrés Riquelme, Esfandiar Maasoumi

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

Monte Carloaveragingshrinkage

Mathematics Subject Classification ID

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

Related Items

Model Selection and Shrinkage: An Overview ⋮ Econometric Reviews honors Esfandiar Maasoumi

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The Adaptive Lasso and Its Oracle Properties
• Testing with many weak instruments
• Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
• Instrumental variable estimation in the presence of many moment conditions
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• LASSO-TYPE GMM ESTIMATOR
• Constructing Optimal Instruments by First-Stage Prediction Averaging
• Non-Nested Tests for Competing Models Estimated by Generalized Method of Moments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS
• Least Squares Model Averaging
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models