Kernel-weighted GMM estimators for linear time series models
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DOI: 10.1016/j.jeconom.2012.05.013
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Cited by:
- Carrasco, Marine & Tchuente, Guy, 2015.
"Regularized LIML for many instruments,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
- Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
- Marine Carrasco & Guy Tchuente, 2015. "Regularized LIML for many instruments," Studies in Economics 1515, School of Economics, University of Kent.
- Emile van Ommeren & Giulia Piccillo, 2021.
"The Central Bank Governor and Interest Rate Setting by Committee,"
CESifo Economic Studies, CESifo Group, vol. 67(2), pages 155-185.
- Emile van Ommeren & Giulia Piccillo, 2019. "The Central Bank Governor and Interest Rate Setting by Committee," CESifo Working Paper Series 7822, CESifo.
- Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
- Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
- Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
- Guy Tchuente, 2016. "Estimation of social interaction models using regularization," Studies in Economics 1607, School of Economics, University of Kent.
- Guy Tchuente, 2019. "Weak Identification and Estimation of Social Interaction Models," Papers 1902.06143, arXiv.org.
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Keywords
Time series; Feasible GMM; Number of instruments; Kernel weights; Higher-order MSE; Bias reduction;All these keywords.
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