Large Sample Properties of Generalized Method of Moments Estimators

asymptotic normality ergodicity generalized method of moments estimators heteroscedasticity orthogonality conditions serial correlation stationarity strong consistency testing over-identifying restrictions

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

Improving marginal hazard ratio estimation using quadratic inference functions
Efficient estimation using the characteristic function
Generalized method of trimmed moments
Empirical likelihood for estimating equations with missing values
A review of asymptotic theory of estimating functions
Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
On the Harris-G class of distributions: general results and application
Information ratio test for model misspecification in quasi-likelihood inference
The large sample behaviour of the generalized method of moments estimator in misspecified models
An MCMC approach to classical estimation.
Asymptotic efficiency in estimation with conditional moment restrictions
On testing overidentifying restrictions in dynamic panel data models
Some results on the Glejser and Koenker tests for heteroskedasticity
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
Simple and trustworthy cluster-robust GMM inference
Superconsistent estimation and inference in structural econometric models using extreme order statistics.
A minimum distance estimator for long-memory processes
Misspecification tests and their uses in econometrics
Information ratio test for model misspecification on parametric structures in stochastic diffusion models
Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
Endogeneity in high dimensions
Testing overidentifying restrictions with many instruments and heteroskedasticity
Estimation and model selection in generalized additive partial linear models for correlated data with diverging number of covariates
The optimal choice of moments in dynamic panel data models
Choice as an alternative to control in observational studies. (With comments and a rejoinder).
Efficient pairwise composite likelihood estimation for spatial-clustered data
Reprint of: Initial conditions and moment restrictions in dynamic panel data models
Empirical Characteristic Function Estimation and Its Applications
The performance of estimators based on the propensity score
Confidence intervals in generalized method of moments models
On B-robust instrumental variable estimation of the linear model with panel data.
Estimating systems of equations with different instruments for different equations
On probit versus logit dynamic mixed models for binary panel data
Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
GMM estimation in partial linear models with endogenous covariates causing an over-identified problem
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
The indirect method: inference based on intermediate statistics -- a synthesis and examples
gmm
Generalized M‐fluctuation tests for parameter instability
Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data
A Consistent Method for the Selection of Relevant Instruments
RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
TempStable
GMM estimation with cross sectional dependence
Modeling asset returns with alternative stable distributions^*
Another look at the instrumental variable estimation of error-components models
GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
Bootstrap Methods for Time Series
Initial conditions and moment restrictions in dynamic panel data models
Testing endogeneity with high dimensional covariates
Profiling heteroscedasticity in linear regression models
A well-conditioned estimator for large-dimensional covariance matrices
A finite sample correction for the variance of linear efficient two-step GMM estimators
A doubly corrected robust variance estimator for linear GMM
Wavelet-Variance-Based Estimation for Composite Stochastic Processes
Nested coordinate descent algorithms for empirical likelihood
Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
Estimation of affine asset pricing models using the empirical characteristic function
momentfit
Select the valid and relevant moments: an information-based Lasso for GMM with many moments
Moderate deviations of generalized method of moments and empirical likelihood estimators
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Regularizing double machine learning in partially linear endogenous models
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
Testing initial conditions in dynamic panel data models
Hahn-Hausman test as a specification test
M-estimation with incomplete and dependent multivariate data
Correcting for non-compliance in randomized trials using rank preserving structural failure time models
The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
On weighting of bivariate margins in pairwise likelihood
The second-order bias and mean squared error of nonlinear estimators
Oracle, multiple robust and multipurpose calibration in a missing response problem
Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
Multivariate regression models for panel data
Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
Point estimation with exponentially tilted empirical likelihood
More Efficient Tests Robust to Heteroskedasticity of Unknown Form
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
Spectral GMM estimation of continuous-time processes
Quantile regression for longitudinal data with a working correlation model
Generalized method of moments specification testing
Empirical likelihood in some semiparametric models
Generalized reduced rank tests using the singular value decomposition
A note on improving quadratic inference functions using a linear shrinkage approach
A method of moments interpretation of sequential estimators
Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
Penalized quadratic inference functions for single-index models with longitudinal data
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
Efficient estimation of panel data models with sequential moment restrictions
Inference functions and quadratic score tests
Empirical likelihood estimation and consistent tests with conditional moment restrictions
Consistent estimation of limited dependent variable models despite misspecification of distribution
A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

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