A new method of projection-based inference in GMM with weakly identified nuisance parameters
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Publication:738026
DOI10.1016/J.JECONOM.2011.05.012zbMATH Open1441.62633OpenAlexW4300555265MaRDI QIDQ738026FDOQ738026
Authors: Saraswata Chaudhuri, Eric Zivot 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.17615/dq1z-pe12
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Cites Work
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Instrumental Variables Regression with Weak Instruments
- Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- GMM with Weak Identification
- ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
- Optimal Structural Nested Models for Optimal Sequential Decisions
- Hypothesis Testing with Efficient Method of Moments Estimation
- Rao's score, Neyman's \(C(\alpha)\) and Silvey's LM tests: an essay on historical developments and some new results
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Testing Parameters in GMM Without Assuming that They Are Identified
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Robust confidence sets in the presence of weak instruments
- Estimation with overidentifying inequality moment conditions
- A new projection-type split-sample score test in linear instrumental variables regression
- Title not available (Why is that?)
Cited In (12)
- Impulse response matching estimators for DSGE models
- Bonferroni-based size-correction for nonstandard testing problems
- Projection-based inference with particle swarm optimization
- On the precision of Calvo parameter estimates in structural NKPC models
- Detecting identification failure in moment condition models
- Generalized \(C(\alpha)\) tests for estimating functions with serial dependence
- GMM with Weak Identification
- Robust inference in nonlinear models with mixed identification strength
- Inference for VARs identified with sign restrictions
- Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- GEL statistics under weak identification
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