Properties of the CUE estimator and a modification with moments

DOI10.1016/J.JECONOM.2011.05.005MaRDI QIDQ738045zbMATH OpenOpenAlexFDO

Authors R. A. Lewis, Konrad Menzel, Jerry Hausman, Whitney Newey

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.05.005

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A jackknife interpretation of the continuous updating estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Asymptotic Statistics
• Asymptotic distributions of instrumental variables statistics with many instruments
• Consistent Estimation with a Large Number of Weak Instruments
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• GMM with Many Moment Conditions
• GMM with Weak Identification
• Generalized Method of Moments With Many Weak Moment Conditions
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Instrumental Variables Regression with Weak Instruments
• Instrumental variable estimation based on grouped data
• Some Properties of a Modification of the Limited Information Estimator
• Testing overidentifying restrictions with many instruments and heteroskedasticity

Cited in

(10)

• Consistent estimation of linear panel data models with measurement error
• Efficient estimation with many weak instruments using regularization techniques
• Score tests in GMM: why use implied probabilities?
• CUE with many weak instruments and nearly singular design
• Editorial. Moment restriction-based econometric methods: an overview
• On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
• Minimizing sensitivity to model misspecification
• Finite sample properties of the GMM Anderson-Rubin test
• Regularized LIML for many instruments
• Dynamic panels with threshold effect and endogeneity

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