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

DOI10.1016/J.JECONOM.2011.05.008MaRDI QIDQ738049zbMATHOpenAlexFDO

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

zbMATH Keywords

Fourier coefficientsGMMconditional moment restrictionsglobal identifiabilitygenerically comprehensive revealing function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• On the identification of models with conditional characteristic functions
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Efficient information theoretic inference for conditional moment restrictions

Cites work

• scientific article; zbMATH DE number 3270258 (Why is no real title available?)
• A Consistent Conditional Moment Test of Functional Form
• Asymptotic efficiency in estimation with conditional moment restrictions
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Consistent Estimation with a Large Number of Weak Instruments
• Consistent model specification tests
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Empirical likelihood and general estimating equations
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Empirical likelihood methods with weakly dependent processes
• Generalization of GMM to a continuum of moment conditions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Large Sample Properties of Generalized Method of Moments Estimators
• Topics in Advanced Econometrics

Cited in

(5)

• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Tests of additional conditional moment restrictions
• 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

This page was built for publication: Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738049)