Instrumental variable estimation in the presence of many moment conditions
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Publication:738047
DOI10.1016/J.JECONOM.2011.05.007zbMATH Open1441.62824OpenAlexW2088932531MaRDI QIDQ738047FDOQ738047
Authors: Ryo Okui 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2433/147964
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Cites Work
- The elements of statistical learning. Data mining, inference, and prediction
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- Choosing the Number of Instruments
- Instrumental Variables Regression with Weak Instruments
- Asymptotic efficiency in estimation with conditional moment restrictions
- Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- A Consistent Method for the Selection of Relevant Instruments
- Consistent Estimation with a Large Number of Weak Instruments
- A New Specification Test for the Validity of Instrumental Variables
- Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Asymptotic distributions of instrumental variables statistics with many instruments
- Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
- Random Effects Estimators with many Instrumental Variables
- Title not available (Why is that?)
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Combining Minimax Shrinkage Estimators
- On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
Cited In (28)
- Shrinkage GMM estimation in conditional moment restriction models
- Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
- Testing for weak identification in possibly nonlinear models
- Choosing instrumental variables in conditional moment restriction models
- Averaging of an increasing number of moment condition estimators
- A conditional linear combination test with many weak instruments
- Adaptive k-class estimation in high-dimensional linear models
- Linear instrumental variables model averaging estimation
- Moment and IV Selection Approaches: A Comparative Simulation Study
- The optimal choice of moments in dynamic panel data models
- A factored form of the instrumental variable algorithm
- Cross-sectional averaging and instrumental variable estimation with many weak instruments
- Editorial. Moment restriction-based econometric methods: an overview
- Regularized LIML for many instruments
- Instrumental variable model average with applications in Mendelian randomization
- Simple many-instruments robust standard errors through concentrated instrumental variables
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
- A regularization approach to the many instruments problem
- Kernel-weighted GMM estimators for linear time series models
- Instrumental variable estimation of factor models with possibly many variables
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Conditional sparse boosting for high-dimensional instrumental variable estimation
- A condition for the identification of multivariate models with binary instruments
- Shrinkage empirical likelihood estimator in longitudinal analysis with time-dependent covariates -- application to modeling the health of Filipino children
- Regularized estimation of dynamic panel models
- Instrumental variables estimation with many weak instruments using regularized JIVE
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