Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

DOI10.1016/J.JECONOM.2011.05.008zbMATH Open1441.62744OpenAlexW3125598238MaRDI QIDQ738049FDOQ738049

Authors: Shih-Hsun Hsu, Chung-Ming Kuan 

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.2011.05.008

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zbMATH Keywords

Fourier coefficientsGMMconditional moment restrictionsglobal identifiabilitygenerically comprehensive revealing function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Empirical likelihood methods with weakly dependent processes
• Large Sample Properties of Generalized Method of Moments Estimators
• Generalization of GMM to a continuum of moment conditions
• Empirical likelihood and general estimating equations
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Asymptotic efficiency in estimation with conditional moment restrictions
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• A Consistent Conditional Moment Test of Functional Form
• Consistent Estimation with a Large Number of Weak Instruments
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Consistent model specification tests
• Topics in Advanced Econometrics
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Title not available (Why is that?)

Cited In (5)

• Editorial. Moment restriction-based econometric methods: an overview
• Fixed‐effects binary choice models with three or more periods
• On the identification of models with conditional characteristic functions
• Tests of additional conditional moment restrictions
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

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