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)

Estimating structural mean models with multiple instrumental variables using the generalised method of moments
Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations
Testing normality: a GMM approach
Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution
Econometrics of first-price auctions with entry and binding reservation prices
Estimation of a panel data model with parametric temporal variation in individual effects
Testing affine term structure models in case of transaction costs
Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
Combining estimators to improve structural model estimation and inference under quadratic loss
Robust GMM tests for structural breaks
Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques
A review on empirical likelihood methods for regression
Identification and estimation of Gaussian affine term structure models
Multivariate trend function testing with mixed stationary and integrated disturbances
Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data
Bootstrapping GMM estimators for time series
Robust inference with GMM estimators
An empirical likelihood approach to quantile regression with auxiliary information
A unified approach to estimation of nonlinear mixed effects and Berkson measurement error models
Concurrent processing of heteroskedastic vector-valued mixture density models
Pricing model of interest rate swap with a bilateral default risk
Weighted empirical likelihood for generalized linear models with longitudinal data
Estimation of quantity games in the presence of indivisibilities and heterogeneous firms
An econometric method of correcting for unit nonresponse bias in surveys
Indirect inference and calibration of dynamic stochastic general equilibrium models
A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
Efficient information theoretic inference for conditional moment restrictions
Estimation and inference in the case of competing sets of estimating equations
Information in generalized method of moments estimation and entropy-based moment selection
Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
Seeking ergodicity in dynamic economies
A bivariate INAR(1) model with different thinning parameters
A discontinuity test for identification in triangular nonseparable models
Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
Inference theory for volatility functional dependencies
Two-stage empirical likelihood for longitudinal neuroimaging data
Marginal empirical likelihood and sure independence feature screening
A fractionally integrated Wishart stochastic volatility model
Endogenous business cycle propagation and the persistence problem: the role of labor-market frictions
Second-order nonlinear least squares estimation
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
A review of empirical likelihood methods for time series
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
A simplified approach to computing efficiency bounds in semiparametric models
Efficient minimum distance estimation with multiple rates of convergence
Fourier-type estimation of the power GARCH model with stable-Paretian innovations
An adaptive empirical likelihood test for parametric time series regression models
Instrumental variable estimation based on conditional median restriction
On the second-order properties of empirical likelihood with moment restrictions
A cointegration approach to estimating preference parameters
Estimating dynamic models from time series of independent cross-sections
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
The relative efficiency of method of moments estimators
Simulation-based inference. A survey with special reference to panel data models
Predictive tests for structural change with unknown breakpoint
The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
Simple and powerful GMM over-identification tests with accurate size
Semiparametric GMM estimation of spatial autoregressive models
A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
Smoothing combined estimating equations in quantile regression for longitudinal data
Orthogonality conditions for Tobit models with fixed effects and lagged dependent variables
Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
Model specification testing of time series regressions
Convergence of least squares learning mechanisms in self-referential linear stochastic models
Limited information likelihood and Bayesian analysis
Modeling the interdependence of volatility and inter-transaction duration processes.
Uncertainty quantification for the family-wise error rate in multivariate copula models
Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
Strategic financial risk management and operations research
Parameter estimation of state space models for univariate observations
Nonparametric estimation of structural models for high-frequency currency market data
Inference on the cointegration rank in fractionally integrated processes.
The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
A Bayesian approach to dynamic macroeconomics
Detecting lack of identification in GMM
A limit theorem for a smooth class of semiparametric estimators
Estimating continuous-time stochastic volatility models of the short-term interest rate
GEL criteria for moment condition models
Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Stochastic estimation of firm technology, inefficiency, and productivity growth using shadow cost and distance functions.
Models as approximations. II. A model-free theory of parametric regression
Efficient estimation and stratified sampling
Generalized empirical likelihood non-nested tests
Breakdown point theory for implied probability bootstrap
Using multiple genetic variants as instrumental variables for modifiable risk factors
Efficient estimation with grouped data
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
High dimensional generalized empirical likelihood for moment restrictions with dependent data
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Efficient GMM estimation of spatial dynamic panel data models with fixed effects
Some diagnostic tools in robust econometrics
Estimation in integer-valued moving average models
Second-order refinement of empirical likelihood for testing overidentifying restrictions
Calibration as estimation
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
A complete VARMA modelling methodology based on scalar components
Estimation of long-run inefficiency levels: a dynamic frontier approach
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

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