Large Sample Properties of Generalized Method of Moments Estimators
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Publication:61354
DOI10.2307/1912775zbMath0502.62098OpenAlexW2028995298WikidataQ60205200 ScholiaQ60205200MaRDI QIDQ61354
Lars Peter Hansen, Lars Peter Hansen
Publication date: July 1982
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912775
asymptotic normalityergodicityheteroscedasticityserial correlationstationaritystrong consistencyorthogonality conditionsgeneralized method of moments estimatorstesting over-identifying restrictions
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)
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S. beef market, Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations, A new scope of penalized empirical likelihood with high-dimensional estimating equations, Modeling longitudinal INMA(1) with COM-Poisson innovation under non-stationarity: application to medical data, Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li, The role of household debt and delinquency decisions in consumption-based asset pricing, Increasing the power of specification tests, Convolution without independence, Empirical asset pricing with multi-period disaster risk: a simulation-based approach, Simple and trustworthy cluster-robust GMM inference, Rank-one multi-reference factor analysis, Least squares moment identification of binary regression mixture models, Empirical process results for exchangeable arrays, Improved empirical likelihood inference and variable selection for generalized linear models with longitudinal nonignorable dropouts, Instrument approval by the Sargan test and its consequences for coefficient estimation, Simple estimators and inference for higher-order stochastic volatility models, Impact of regulatory trade barriers and controls of the movement of capital and people on international trade of selected central, eastern and southeastern European economies, Robust inference for mediated effects in partially linear models, Robust pricing under strategic trading, Finite sample properties of parametric MMD estimation: robustness to misspecification and dependence, Feedback in panel data models, Generalized partial linear models with nonignorable dropouts, Clustering and forecasting multiple functional time series, Parallel-and-stream accelerator for computationally fast supervised learning, Beyond the mean: a flexible framework for studying causal effects using linear models, Tests for independence between categorical variables, Generalized empirical likelihood non-nested tests, Sample selection and information-theoretic alternatives to GMM, Connections between entropic and linear projections in asset pricing estimation, Limited information likelihood and Bayesian analysis, Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence, Market efficiency, asset returns, and the size of the risk premium in global equity markets., External bootstrap tests for parameter stability., Superconsistent estimation and inference in structural econometric models using extreme order statistics., Inference on the cointegration rank in fractionally integrated processes., Approximate maximum likelihood for complex structural models, Individual effects and dynamics in count data models., Stochastic estimation of firm technology, inefficiency, and productivity growth using shadow cost and distance functions., Estimating stochastic volatility diffusion using conditional moments of integrated volatility, GMM tests for the Katz family of distributions, Robust empirical likelihood, Application of neural networks to an emerging financial market: Forecasting and trading the Taiwan Stock index., Empirical Characteristic Function Estimation and Its Applications, Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models, Using multiple genetic variants as instrumental variables for modifiable risk factors, Generalized empirical likelihood testing in semiparametric conditional moment restrictions models, Breakdown point theory for implied probability bootstrap, FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT, Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs, A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS, A Constructive Approach to Estimating Pure Characteristics Demand Models with Pricing, OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION, GMM estimation in partial linear models with endogenous covariates causing an over-identified problem, VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES, EFFICIENCY BOUNDS FOR SEMIPARAMETRIC ESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTED FUNCTIONS, Risk–return relationship in equity markets: using a robust GMM estimator for GARCH-M models, Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions, The coefficient of variation asymptotic distribution in the case of non-iid random variables, Efficient Estimation for Semi-varying Coefficient Model with An Invertible Linear Process Error, Efficient pairwise composite likelihood estimation for spatial-clustered data, Model averaging based on generalized method of moments, Factor investing for the long run, An efficient multiple imputation approach for estimating equations with response missing at random and high-dimensional covariates, Generalized moment estimation for uncertain differential equations, Regression estimation for longitudinal data with nonignorable intermittent nonresponse and dropout, Overlap weight and propensity score residual for heterogeneous effects: a review with extensions, Estimation with multivariate outcomes having nonignorable item nonresponse, Nonparametric density estimation and risk quantification from tabulated sample moments, High dimensional semiparametric moment restriction models, A test for Kronecker product structure covariance matrix, Local lagged adapted generalized method of moments and applications, On normal-Laplace stochastic volatility model, Entropy-Based Moment Selection in the Presence of Weak Identification, Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models, A threshold mixed count time series model: estimation and application, Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions, Reprint of: Initial conditions and moment restrictions in dynamic panel data models, Initial conditions and Blundell-Bond estimators, Finite-sample corrected inference for two-step GMM in time series, A study of quadratic inference functions with alternative weighting matrices, Method‐of‐moment view of linear simultaneous equation systems, Schémas de discrétisation anticipatifs et estimation du paramètre de dérive d'une diffusion, Generalized M‐fluctuation tests for parameter instability, INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT, GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS, Estimation of the stochastic conditional duration model via alternative methods, Consistent Model Selection and Data-Driven Smooth Tests for Longitudinal Data in the Estimating Equations Approach, A complete VARMA modelling methodology based on scalar components, Variational estimation of the drift for stochastic differential equations from the empirical density, Testing the adequacy of conventional asymptotics in GMM, ECF estimation of Markov models where the transition density is unknown, Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method, A Joint Test for Conditional Heteroscedasticity in Dynamic Panel Data Models, Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions, On probit versus logit dynamic mixed models for binary panel data, Information-Theoretic Distribution Test with Application to Normality, Testing, Estimation in GMM and CUE with Nearly-Weak Identification, Large deviations of generalized method of moments and empirical likelihood estimators, EFFECTS OF BIT DEPTH ON THE MULTIFRACTAL ANALYSIS OF GRAYSCALE IMAGES, Estimation in integer-valued moving average models, A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION, Min-max optimal instrumental variable estimation method for multivariate linear time-series systems, Estimating mixtures of normal distributions via empirical characteristic function, An empirical power comparison of univariate goodness-of-fit tests for normality, Calibration as estimation, Weighted least-squares inference for multivariate copulas based on dependence coefficients, AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS, Partial Linear Models for Longitudinal Data Based on Quadratic Inference Functions, Economic Growth and Revealed Social Preference, A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS, GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION, ORDINARY LEAST SQUARES ESTIMATION OF A DYNAMIC GAME MODEL, EMPIRICAL LIKELIHOOD ESTIMATION OF CONDITIONAL MOMENT RESTRICTION MODELS WITH UNKNOWN FUNCTIONS, GEL METHODS FOR NONSMOOTH MOMENT INDICATORS, Unnamed Item, NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS, Nonparametric likelihood and doubly robust estimating equations for marginal and nested structural models, THE WELFARE GAINS OF TRADE INTEGRATION IN THE EUROPEAN MONETARY UNION, Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES, Count Data Models with Correlated Unobserved Heterogeneity, Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models, Generalized Method of Moments for Additive Hazards Model with Clustered Dental Survival Data, Efficient GMM with nearly-weak instruments, The econometrics of mean‐variance efficiency tests: a survey, GEL CRITERIA FOR MOMENT CONDITION MODELS, Simulation-Based Estimation Methods for Financial Time Series Models, STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS, SECOND-ORDER REFINEMENT OF EMPIRICAL LIKELIHOOD FOR TESTING OVERIDENTIFYING RESTRICTIONS, Simple and fast overidentified rank estimation for right-censored length-biased data and backward recurrence time, Moment Conditions and Bayesian Non-Parametrics, Fast Moment Estimation for Generalized Latent Dirichlet Models, Bayesian Estimation and Comparison of Moment Condition Models, Improved generalized method of moments estimators for weakly dependent observations, A cluster-sample approach for Monte Carlo integration using multiple samplers, Bivariate Time Series Modeling of Financial Count Data, Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling, Shrinkage Empirical Likelihood Estimator in Longitudinal Analysis with Time‐Dependent Covariates—Application to Modeling the Health of Filipino Children, A Comparison of Utilized and Theoretical Covariance Weighting Matrices on the Estimation Performance of Quadratic Inference Functions, GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE, ON THE ASYMPTOTIC EFFICIENCY OF GMM, Nonparametric two-step regression estimation when regressors and error are dependent, Estimation of long-run inefficiency levels: a dynamic frontier approach, Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form, A general approach to conditional moment specification testing with projections, On the Complexity of Random Satisfiability Problems with Planted Solutions, Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models, Robust statistical inference for longitudinal data with nonignorable dropouts, Stochastic Volatility Models Predictive Relevance for Equity Markets, Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts, Partitioned GMM Marginal Model for Time Dependent Covariates: Applications to Survey Data, A note on the estimation and inference with quadratic inference functions for correlated outcomes, Improving Effect Estimates by Limiting the Variability in Inverse Propensity Score Weights, Basic structure of the asymptotic theory in dynamic nonlinear econometric models, Is news related to GDP growth a risk factor for commodity futures returns?, Analysis of order book flows using a non-parametric estimation of the branching ratio matrix, On Semiparametric Instrumental Variable Estimation of Average Treatment Effects through Data Fusion, Forecasting exchange rates using asymmetric losses: A Bayesian approach, Modeling asset returns with alternative stable distributions*, A SURVIVAL ANALYSIS INCORPORATING AUXILIARY INFORMATION BY A BAYESIAN GENERALIZED METHOD OF MOMENTS: APPLICATION TO PURCHASE DURATION MODELING, Estimation for discretely observed diffusions using transform functions, DETECTING LACK OF IDENTIFICATION IN GMM, LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993, THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS, COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY, Efficient regression modeling for correlated and overdispersed count data, Estimation of marginal generalized linear model with subgroup auxiliary information, Cross-Sectional Dependence in Panel Data Analysis, Centered-Residuals-Based Moment Estimator and Test for Stochastic Frontier Models, Using Copulas to Model Time Dependence in Stochastic Frontier Models, Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach, Time-Deformation Modeling of Stock Returns Directed by Duration Processes, Identification and Identification Failure for Treatment Effects Using Structural Systems, Generalized method of moment for case-cohort under additive hazards model, Bootstrap Methods for Time Series, ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS, Oracle GMM estimation for misspecified models via thresholding, Simultaneous estimation and inference for multiple response variables, A New Estimation Approach for Combining Epidemiological Data From Multiple Sources, A two-stage estimation for panel data models with grouped fixed effects, The moments of the Gompertz distribution and maximum likelihood estimation of its parameters, Smoothed quantile regression with nonignorable dropouts, Unnamed Item, Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Amemiya‘s generalized least squares and tests of overidentification in simultaneous equation models with qualitative or limited dependent variables, Bernstein-type large deviations inequalities for partial sums of strong mixing processes, Goodness of fit tests based on frequencies and averages of classes, A monte carlo study of tests for non-nested models estimated by generalized method of moments, Unnamed Item, GMC/GEL estimation of stochastic volatility models, An improved estimator for models with randomly missing data, On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties, Tests for serial correlation and overdispersion in a count data regression model∗, Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models, EXPORT DIVERSIFICATION AND EXPORT PERFORMANCE BY DESTINATION COUNTRY, MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS, A novel robust multivariate regression approach to optimize multiple surfaces, A GENERAL CLASS OF NON-NESTED TEST STATISTICS FOR MODELS DEFINED THROUGH MOMENT RESTRICTIONS, A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL, THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED1, A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS, Instrumental Variable Estimators for Binary Outcomes, Inferences in Stochastic Volatility Models: A New Simpler Way, Unnamed Item, Multiscale Adaptive Marginal Analysis of Longitudinal Neuroimaging Data with Time‐Varying Covariates, ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK, Information Ratio Test for Model Misspecification in Quasi-Likelihood Inference, Informative Estimation and Selection of Correlation Structure for Longitudinal Data, Conditional Inference Functions for Mixed-Effects Models With Unspecified Random-Effects Distribution, Comparing Joint GQL Estimation and GMM Adaptive Estimation in COM-Poisson Longitudinal Regression Model, GQL estimation in linear dynamic models for panel data, A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias, Fitting Nonlinear and Constrained Generalized Estimating Equations with Optimization Software, Local generalized method of moments estimation based on kernel weights: An application to panel data, RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS, ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS, Small Sample Properties of Frequency Domain Estimators for the Fractional Model, Unnamed Item, A Consistent Method for the Selection of Relevant Instruments, Stochastic Models for Oil Prices and the Pricing of Futures on Oil, A BAYESIAN INTERPRETATION OF MULTIPLE POINT ESTIMATES, Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances, Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data, Proportional Hazards Model With Covariate Measurement Error and Instrumental Variables, Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence, ARMA representation of integrated and realized variances, Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices, Two-step combined nonparametric likelihood estimation of misspecified semiparametric models, RECENTERED AND RESCALED INSTRUMENTAL VARIABLE ESTIMATION OF TOBIT AND PROBIT MODELS WITH ERRORS IN VARIABLES, GENERALIZED INTEGER-VALUED AUTOREGRESSION, A Distributed and Integrated Method of Moments for High-Dimensional Correlated Data Analysis, Estimating Expected Exchange Rates Under Target Zone Regimes, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, Investing in the size factor, A comparison of LS/ML and GMM estimation in a simple AR(1) model, OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Indirect inference for time series using the empirical characteristic function and control variates, Uncertainty Quantification of Bifurcations in Random Ordinary Differential Equations, On the formulation of uniform laws of large numbers: a truncation approach, Nonstationary panel data analysis: an overview of some recent developments, Statistical inference for nonignorable missing-data problems: a selective review, Meta-analysis of independent datasets using constrained generalised method of moments, Efficient GMM estimation with singular system of moment conditions, Nonignorable item nonresponse in panel data, A selective review of statistical methods using calibration information from similar studies, An extended sparse max-linear moving model with application to high-frequency financial data, Estimating Malaria Vaccine Efficacy in the Absence of a Gold Standard Case Definition: Mendelian Factorial Design, Integrating Multisource Block-Wise Missing Data in Model Selection, Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish, A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing, TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS, The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes, GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors, Specification testing with estimated variables, IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS, Identifiability and estimation of two-sample data with nonignorable missing response, A comparative study on estimation methods to deal with the endogeneity in linear random-intercept models with an extension, Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning, Robust inference for estimating equations with nonignorably missing data based on SIR algorithm, Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model, POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD, Combining Multiple Observational Data Sources to Estimate Causal Effects, Co-impact: crowding effects in institutional trading activity, Concurrent processing of heteroskedastic vector-valued mixture density models, Semiparametric inference for estimating equations with nonignorably missing covariates, Algorithm 963, Comparative GMM and GQL logistic regression models on hierarchical data, ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION, Finite Sample Properties of the Two-Step Empirical Likelihood Estimator, AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION, Simple foreign exchange market efficiency revisited, Estimation and inference in the linear-quadratic inventory model, Log-normal continuous cascade model of asset returns: aggregation properties and estimation, STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA, CBPS-based estimation for linear models with responses missing at random, Non parametric regression analysis for longitudinal data with time-depending autoregressive error process, Emulation of Stochastic Simulators Using Generalized Lambda Models, Frequency domain generalized empirical likelihood method, Estimation and inference in the linear-quadratic inventory model, Simple foreign exchange market efficiency revisited, Generalized method of moments for an extended gamma process, Asymptotic Properties of Maximum Likelihood Estimation: Parameterized Diffusion in a Manifold, Improvement of expectation–maximization algorithm for phase‐type distributions with grouped and truncated data, Reopening the convergence debate: A new look at cross-country growth empirics., Criterion for the simultaneous selection of a working correlation structure and either generalized estimating equations or the quadratic inference function approach, Inference based on adaptive grid selection of probability transforms, Estimating causal effects from multiple cycle data in studies of in vitro fertilization, Enriching Surveys with Supplementary Data and its Application to Studying Wage Regression, FIRM DYNAMICS IN AN URBAN ECONOMY *, QUANTIFYING THE IMPACTS OF LIMITED SUPPLY: THE CASE OF NURSING HOMES, ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS, The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure, Size matters: covariance matrix estimation under the alternative, Robust m-estimators, POOLING ESTIMATES WITH DIFFERENT RATES OF CONVERGENCE: A MINIMUM χ2 APPROACH WITH EMPHASIS ON A SOCIAL INTERACTIONS MODEL, A unified approach to estimation of nonlinear mixed effects and Berkson measurement error models, ON SUNSPOTS, HABITS, AND MONETARY FACTS, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS, More Efficient Tests Robust to Heteroskedasticity of Unknown Form, Nested coordinate descent algorithms for empirical likelihood, On sign-based regression quantiles, Semiparametric estimation of copula models with nonignorable missing data, A note on a cross-sectional GMM estimator in the presence of an observable common shock, Propriétés dans L2et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques, PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD, Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data, On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments, Unnamed Item, Unnamed Item, Resampling calibrated adjusted empirical likelihood, A long-memory integer-valued time series model, INARFIMA, for financial application, Correlation structure selection for longitudinal data with diverging cluster size, PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH, GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity, Inference on local average treatment effects for misclassified treatment, Testing initial conditions in dynamic panel data models, A new class of tests for overidentifying restrictions in moment condition models, Minimum distance estimation of parametric Lorenz curves based on grouped data, Bootstrap inference for penalized GMM estimators with oracle properties, Identification strength with a large number of moments, Finite sample properties of the GMM Anderson–Rubin test, Inference for bivariate integer-valued moving average models based on binomial thinning operation, Parameter estimation in multivariate logit models with many binary choices, Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models, Bayesian model averaging for dynamic panels with an application to a trade gravity model, Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data, Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification, Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England, A fractionally integrated Wishart stochastic volatility model, Invariant tests based onM-estimators, estimating functions, and the generalized method of moments, Moment and IV Selection Approaches: A Comparative Simulation Study, Estimation of Sparse Structural Parameters with Many Endogenous Variables, Exponential class of dynamic binary choice panel data models with fixed effects, On the relevance of weaker instruments, Multivariate hypothesis testing using generalized and {2}-inverses – with applications, Improved kth power expectile regression with nonignorable dropouts, Efficient Penalized Estimation for Linear Regression Model, Semiparametric estimation of moment condition models with weakly dependent data, PVAR model with collapsed instruments in the real exchange rates misalignment's analysis, Optimal estimation of high-dimensional Gaussian location mixtures, Optimal minimax rates of specification testing with data-driven bandwidth, Comparison of covariate balance weighting methods in estimating treatment effects, Young, timid, and risk takers, Two robust tools for inference about causal effects with invalid instruments, Improved Semiparametric Estimation of the Proportional Rate Model with Recurrent Event Data, Logistic regression analysis of two‐phase studies using generalized method of moments, Multivariate online regression analysis with heterogeneous streaming data, Missing data analysis with sufficient dimension reduction, Empirical and conditional likelihoods for two‐phase studies, Improved composite quantile regression and variable selection with nonignorable dropouts, The sparse method of simulated quantiles: An application to portfolio optimization, Real-Time Regression Analysis of Streaming Clustered Data With Possible Abnormal Data Batches, Double Reduction Estimation and Equilibrium Tests in Natural Autopolyploid Populations, Rejoinder to “Instrumented Difference-in-Differences”, Multikink Quantile Regression for Longitudinal Data with Application to Progesterone Data Analysis, COMPETITION AND MULTILEVEL TECHNOLOGY ADOPTION: A DYNAMIC ANALYSIS OF ELECTRONIC MEDICAL RECORDS ADOPTION IN U.S. HOSPITALS, Consumption peer effects and utility needs in India, Estimating function method for nonnegative autoregressive models, Model‐Assisted Regression Estimators for Longitudinal Data with Nonignorable Dropout, What is a standard error? (And how should we compute it?), Improving marginal hazard ratio estimation using quadratic inference functions, Semiparametric penalized quadratic inference functions for longitudinal data in ultra-high dimensions, Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model, Autoregressive inverse Gaussian process and the stochastic volatility modeling, On Fitting Probability Distribution to Univariate Grouped Actuarial Data with Both Group Mean and Relative Frequencies, Partial identification and inference in moment models with incomplete data, A GMM approach to estimate the roughness of stochastic volatility, Nonparametric identification and estimation with discrete instruments and regressors, Robust Two-Step Wavelet-Based Inference for Time Series Models, On some composite Kies families: distributional properties and saturation in Hausdorff sense, Linex and double-linex regression for parameter estimation and forecasting, Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates, Likelihood approach to dynamic panel models with interactive effects, A generalization of the spatial binary model to the longitudinal spatial setup, Autoregressive mixture models for clustering time series, A confirmatory factor analysis approach for addressing the errors-in-variables problem with colored output noise, Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme, Local generalised method of moments: an application to point process‐based rainfall models, Explicit solution to the economic index of riskiness, Statistical inference with semiparametric nonignorable nonresponse models, QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units, Loyalty of rural microfinance borrowers: International evidence, Some notes about inference for the lognormal diffusion process with exogenous factors, Over-identified doubly robust identification and estimation, A higher-order correct fast moving-average bootstrap for dependent data, Combined estimating equation approaches for the additive hazards model with left-truncated and interval-censored data, Local polynomial estimation of nonparametric general estimating equations, Multivariate mix-GEE models for longitudinal data with multiple outcomes, Structural VAR models in the frequency domain, Power spectrum unbiasing for dilation-invariant multi-reference alignment, Optimal estimating function for weak location‐scale dynamic models, Empirical likelihood with censored data, Likelihood identifiability and parameter estimation with nonignorable missing data, More effective estimation for additive hazards model in generalized case-cohort study, Projected state-action balancing weights for offline reinforcement learning, Estimating causal effects with hidden confounding using instrumental variables and environments, Culling the Herd of Moments with Penalized Empirical Likelihood, Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks, Observation-driven filtering of time-varying parameters using moment conditions, Finite underidentification, Testing underidentification in linear models, with applications to dynamic panel and asset pricing models, Editorial: Whitney Newey's contributions to econometrics, Optimal weighting for linear inverse problems, Robust inference with GMM estimators, Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models, Panel data analysis of household brand choices, A simplified approach to computing efficiency bounds in semiparametric models, Estimation of affine asset pricing models using the empirical characteristic function, Can world real interest rates explain business cycles in a small open economy?, Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes, Two-part multiple spell models for health care demand, Encompassing tests when no model is encompassing, Generalized spectral estimation of the consumption-based asset pricing model, Optimal instrumental variables estimation for ARMA models, Estimating and testing rational expectations models when the trend specification is uncertain., Criterion-based inference for GMM in autoregressive panel data models., GEE estimation of the covariance structure of a bivariate panel data model with an application to wage dynamics and the incidence of profit-sharing in West Germany, Variable selection and estimation for partially linear single-index models with longitudinal data, On oracle property and asymptotic validity of Bayesian generalized method of moments, Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators, Editors' introduction
