Bertille Antoine
Personal Details
First Name: | Bertille |
Middle Name: | |
Last Name: | Antoine |
Suffix: | |
RePEc Short-ID: | pan175 |
[This author has chosen not to make the email address public] | |
http://www.sfu.ca/~baa7 | |
Terminal Degree: | 2007 Département de Sciences Économiques; Université de Montréal (from RePEc Genealogy) |
Affiliation
Department of Economics
Simon Fraser University
Burnaby, Canadahttps://www.sfu.ca/economics/
RePEc:edi:desfuca (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
- Antoine Bertille & Pascal Lavergne, 2023.
"Identification-Robust Nonparametric Inference in a Linear IV Model,"
Post-Print
hal-04141433, HAL.
- Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- Bertille Antoine & Xiaolin Sun, 2020.
"Partially Linear Models with Endogeneity: a conditional moment based approach,"
Discussion Papers
dp20-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Xiaolin Sun, 2022. "Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018.
"Robust Estimation with Exponentially Tilted Hellinger Distance,"
CIRANO Working Papers
2018s-38, CIRANO.
- Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2017. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp17-15, Department of Economics, Simon Fraser University.
- Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
- Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
- Bertille Antoine & Eric Renault, 2014.
"On the relevance of weaker instruments,"
Discussion Papers
dp14-04, Department of Economics, Simon Fraser University, revised 10 Oct 2016.
- Bertille Antoine & Eric Renault, 2017. "On the relevance of weaker instruments," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 928-945, October.
- Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
- Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
- Bertille Antoine & Eric Renault, 2012.
"Testing Identification Strength,"
Discussion Papers
dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2018. "Testing Identification Strength," Discussion Papers dp18-07, Department of Economics, Simon Fraser University.
- Bertille Antoine & Eric Renault, 2012.
"Efficient Minimum Distance Estimation with Multiple Rates of Convergence,"
Discussion Papers
dp12-03, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
- Bertille Antoine & Pascal Lavergne, 2011.
"Conditional Moment Models under Semi-Strong Identification,"
Discussion Papers
dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
Articles
- Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
- Antoine, Bertille & Lavergne, Pascal, 2023.
"Identification-robust nonparametric inference in a linear IV model,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- Bertille Antoine & Lynda Khalaf & Maral Kichian & Zhenjiang Lin, 2023. "Identification-Robust Inference With Simulation-Based Pseudo-Matching," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 321-338, April.
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Xiaolin Sun, 2020. "Partially Linear Models with Endogeneity: a conditional moment based approach," Discussion Papers dp20-06, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Dovonon, Prosper, 2021.
"Robust estimation with exponentially tilted Hellinger distance,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2017. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp17-15, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation with Exponentially Tilted Hellinger Distance," CIRANO Working Papers 2018s-38, CIRANO.
- Antoine, Bertille & Renault, Eric, 2020.
"Testing identification strength,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Bertille Antoine & Eric Renault, 2018. "Testing Identification Strength," Discussion Papers dp18-07, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
- Bertille Antoine & Eric Renault, 2017.
"On the relevance of weaker instruments,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 928-945, October.
- Bertille Antoine & Eric Renault, 2014. "On the relevance of weaker instruments," Discussion Papers dp14-04, Department of Economics, Simon Fraser University, revised 10 Oct 2016.
- Antoine, Bertille & Lavergne, Pascal, 2014.
"Conditional moment models under semi-strong identification,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
- Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Antoine, Bertille & Renault, Eric, 2012.
"Efficient minimum distance estimation with multiple rates of convergence,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
- Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
- Bertille Antoine, 2010. "Portfolio Selection with Estimation Risk: A Test-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 164-197, 2012 10 1.
- Bertille Antoine & Eric Renault, 2009. "Efficient GMM with nearly-weak instruments," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 135-171, January.
- Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007.
"On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood,"
Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
- Hélène Bonnal & Eric Renault, 2004. "On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood," CIRANO Working Papers 2004s-18, CIRANO.
- Bertille Antoine & Kevin Proulx & Eric Renault, 0. "Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 656-714.
- Bertille Antoine & Kevin Proulx & Eric Renault, 0. "Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 776-790.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Antoine Bertille & Pascal Lavergne, 2023.
"Identification-Robust Nonparametric Inference in a Linear IV Model,"
Post-Print
hal-04141433, HAL.
- Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
Cited by:
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Xiaolin Sun, 2020. "Partially Linear Models with Endogeneity: a conditional moment based approach," Discussion Papers dp20-06, Department of Economics, Simon Fraser University.
- Xiaohong Chen & Sokbae Lee & Myung Hwan Seo & Myunghyun Song, 2020. "Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic," Papers 2008.11140, arXiv.org, revised Oct 2024.
- Jiafeng Chen & Daniel L. Chen & Greg Lewis, 2020. "Mostly Harmless Machine Learning: Learning Optimal Instruments in Linear IV Models," Papers 2011.06158, arXiv.org, revised Jun 2021.
- Bertille Antoine & Xiaolin Sun, 2020.
"Partially Linear Models with Endogeneity: a conditional moment based approach,"
Discussion Papers
dp20-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Xiaolin Sun, 2022. "Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
Cited by:
- Juan Carlos Escanciano & Joel Robert Terschuur, 2022. "Machine Learning Inference on Inequality of Opportunity," Papers 2206.05235, arXiv.org, revised Oct 2023.
- Kunyang Song & Feiyu Jiang & Ke Zhu, 2024. "Estimation for conditional moment models based on martingale difference divergence," Papers 2404.11092, arXiv.org.
- Wayne Yuan Gao & Rui Wang, 2023. "IV Regressions without Exclusion Restrictions," Papers 2304.00626, arXiv.org, revised Jul 2023.
- Bertille Antoine & Pascal Lavergne, 2020.
"Identification-Robust Nonparametric Interference in a Linear IV Model,"
Discussion Papers
dp20-03, Department of Economics, Simon Fraser University.
Cited by:
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Xiaolin Sun, 2020. "Partially Linear Models with Endogeneity: a conditional moment based approach," Discussion Papers dp20-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Prosper Dovonon, 2018.
"Robust Estimation with Exponentially Tilted Hellinger Distance,"
CIRANO Working Papers
2018s-38, CIRANO.
- Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2017. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp17-15, Department of Economics, Simon Fraser University.
Cited by:
- Pietro Emilio Spini, 2021. "Robustness, Heterogeneous Treatment Effects and Covariate Shifts," Papers 2112.09259, arXiv.org, revised Aug 2024.
- Daniel Ober-Reynolds, 2024. "Robustness to Missing Data: Breakdown Point Analysis," Papers 2406.06804, arXiv.org.
- Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
- Bertille Antoine & Otilia Boldea, 2015.
"Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve,"
Discussion Papers
dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
Cited by:
- Barnichon, Regis & Mesters, Geert, 2019.
"Identifying Modern Macro Equations with Old Shocks,"
CEPR Discussion Papers
13765, C.E.P.R. Discussion Papers.
- Régis Barnichon & Geert Mesters, 2019. "Identifying Modern Macro Equations with Old Shocks," Working Papers 1097, Barcelona School of Economics.
- Régis Barnichon & Geert Mesters, 2019. "Identifying modern macro equations with old shocks," Economics Working Papers 1659, Department of Economics and Business, Universitat Pompeu Fabra.
- Regis Barnichon & Geert Mesters, 2020. "Identifying Modern Macro Equations with Old Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2255-2298.
- Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020.
"Time-Varying Instrumental Variable Estimation,"
CEPR Discussion Papers
15210, C.E.P.R. Discussion Papers.
- Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
- Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021. "Time-varying instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Other publications TiSEM
40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
- Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015.
"The Asymptotic Behaviour of the Residual Sum of Squares in Models with Multiple Break Points,"
Economics Discussion Paper Series
1504, Economics, The University of Manchester.
- Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2017. "The asymptotic behaviour of the residual sum of squares in models with multiple break points," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 667-698, October.
- Aquino, Juan, 2019. "The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness," Working Papers 2019-019, Banco Central de Reserva del Perú.
- Barnichon, Regis & Mesters, Geert, 2019.
"Identifying Modern Macro Equations with Old Shocks,"
CEPR Discussion Papers
13765, C.E.P.R. Discussion Papers.
- Bertille Antoine & Otilia, 2015.
"Inference in linear models with structural changes and mixed identification strength,"
Discussion Papers
dp15-05, Department of Economics, Simon Fraser University.
Cited by:
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Other publications TiSEM
40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
- Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
- Rothfelder, Mario P. & Boldea, Otilia, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 674deead-8826-450a-8f56-f, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Other publications TiSEM
40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Bertille Antoine & Eric Renault, 2014.
"On the relevance of weaker instruments,"
Discussion Papers
dp14-04, Department of Economics, Simon Fraser University, revised 10 Oct 2016.
- Bertille Antoine & Eric Renault, 2017. "On the relevance of weaker instruments," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 928-945, October.
Cited by:
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
- Grundke, Robert & Moser, Christoph, 2019.
"Hidden protectionism? Evidence from non-tariff barriers to trade in the United States,"
Journal of International Economics, Elsevier, vol. 117(C), pages 143-157.
- Christoph Moser & Robert Grundke, 2014. "Hidden Protectionism? Evidence from Non-tariff Barriers to Trade in the United States," KOF Working papers 14-369, KOF Swiss Economic Institute, ETH Zurich.
- Robert Grundke & Christoph Moser, 2014. "Hidden Protectionism? Evidence from Non-tariff Barriers to Trade in the United States," CESifo Working Paper Series 5142, CESifo.
- Grundke, Robert & Moser, Christoph, 2016. "Hidden Protectionism? Evidence from Non-tariff Barriers to Trade in the United States," Working Papers in Economics 2016-2, University of Salzburg.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018.
"Moment redundancy test with application to efficiency-improving copulas,"
Economics Letters, Elsevier, vol. 171(C), pages 29-33.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2019. "Moment Redundancy Test with Application to Efficiency-Improving Copulas," Working Papers BAWP-2019-05, University of Sydney Business School, Discipline of Business Analytics.
- Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
- Bertille Antoine & Eric Renault, 2012.
"Efficient Inference with Poor Instruments: a General Framework,"
Discussion Papers
dp12-04, Department of Economics, Simon Fraser University.
Cited by:
- Enrique Sentana, 2015.
"Finite Underidentification,"
Working Papers
wp2015_1508, CEMFI.
- Sentana, Enrique, 2024. "Finite underidentification," Journal of Econometrics, Elsevier, vol. 240(1).
- Donald W. K. Andrews & Xu Cheng, 2011.
"Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure,"
Cowles Foundation Discussion Papers
1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
- Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
- Donald W.K. Andrews & Xu Cheng, 2011.
"GMM Estimation and Uniform Subvector Inference with Possible Identification Failure,"
Cowles Foundation Discussion Papers
1828, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
- Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
- Antoine, Bertille & Lavergne, Pascal, 2014.
"Conditional moment models under semi-strong identification,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
- Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Enrique Sentana, 2015.
"Finite Underidentification,"
Working Papers
wp2015_1508, CEMFI.
- Bertille Antoine & Eric Renault, 2012.
"Testing Identification Strength,"
Discussion Papers
dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2018. "Testing Identification Strength," Discussion Papers dp18-07, Department of Economics, Simon Fraser University.
Cited by:
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
- Frazier, David T. & Renault, Eric & Zhang, Lina & Zhao, Xueyan, 2021.
"Weak Identification in Discrete Choice Models,"
The Warwick Economics Research Paper Series (TWERPS)
1336, University of Warwick, Department of Economics.
- David T. Frazier & Eric Renault & Lina Zhang & Xueyan Zhao, 2020. "Weak Identification in Discrete Choice Models," Papers 2011.06753, arXiv.org, revised Jan 2021.
- Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
- Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
- Bertille Antoine & Eric Renault, 2012.
"Efficient Minimum Distance Estimation with Multiple Rates of Convergence,"
Discussion Papers
dp12-03, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
Cited by:
- Zhentao Shi & Huanhuan Zheng, 2018.
"Structural Estimation of Behavioral Heterogeneity,"
Papers
1802.03735, arXiv.org, revised Jun 2018.
- Zhentao Shi & Huanhuan Zheng, 2018. "Structural estimation of behavioral heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 690-707, August.
- Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2016.
"Impulse Response Matching Estimators for DSGE Models,"
CESifo Working Paper Series
5730, CESifo.
- Pablo Guerron-quintana & Atsushi Inoue & Lutz Kilian, 2014. "Impulse response matching estimators for DSGE models," Vanderbilt University Department of Economics Working Papers 14-00014, Vanderbilt University Department of Economics.
- Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2014. "Impulse Response Matching Estimators for DSGE Models," CEPR Discussion Papers 10298, C.E.P.R. Discussion Papers.
- GUERRON-QUINTANA, Pablo & INOUE, Atsushi & KILIAN, Lutz, 2016. "Impulse Response Matching Estimators for DSGE Models," Discussion paper series HIAS-E-27, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2014. "Impulse response matching estimators for DSGE models," CFS Working Paper Series 498, Center for Financial Studies (CFS).
- Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2017. "Impulse response matching estimators for DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 144-155.
- Atsushi Inoue & Lutz Kilian, 2016.
"Joint Confidence Sets for Structural Impulse Responses,"
CESifo Working Paper Series
5746, CESifo.
- Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
- Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
- Kilian, Lutz & Inoue, Atsushi, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers 9892, C.E.P.R. Discussion Papers.
- Chao, John C. & Swanson, Norman R. & Woutersen, Tiemen, 2023. "Jackknife estimation of a cluster-sample IV regression model with many weak instruments," Journal of Econometrics, Elsevier, vol. 235(2), pages 1747-1769.
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Leong, Soon Heng & Urga, Giovanni, 2023. "A practical multivariate approach to testing volatility spillover," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
- Simon Freyaldenhoven, 2017.
"A Generalized Factor Model with Local Factors,"
2017 Papers
pfr361, Job Market Papers.
- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
- Alessandro Gregorio & Francesco Iafrate, 2021. "Regularized bridge-type estimation with multiple penalties," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 921-951, October.
- Antoine, Bertille & Lavergne, Pascal, 2014.
"Conditional moment models under semi-strong identification,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
- Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
- Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
- Krogh, Tord S., 2015. "Macro frictions and theoretical identification of the New Keynesian Phillips curve," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 191-204.
- Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
- Feir, Donna & Lemieux, Thomas & Marmer, Vadim, 2010.
"Weak Identification in Fuzzy Regression Discontinuity Designs,"
Microeconomics.ca working papers
vadim_marmer-2010-19, Vancouver School of Economics, revised 17 Apr 2016.
- Donna Feir & Thomas Lemieux & Vadim Marmer, 2016. "Weak Identification in Fuzzy Regression Discontinuity Designs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 185-196, April.
- David T. Frazierz & Eric Renault, 2016. "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers 2016s-16, CIRANO.
- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
- Bertille Antoine & Eric Renault, 2018.
"Testing Identification Strength,"
Discussion Papers
dp18-07, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
- Frazier, David T. & Renault, Eric, 2017. "Efficient two-step estimation via targeting," Journal of Econometrics, Elsevier, vol. 201(2), pages 212-227.
- Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
- Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
- Bertille Antoine & Pascal Lavergne, 2011.
"Conditional Moment Models under Semi-Strong Identification,"
Discussion Papers
dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
Cited by:
- Marine Carrasco & Guy Tchuente, 2016.
"Efficient Estimation with Many Weak Instruments Using Regularization Techniques,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1609-1637, December.
- Marine Carrasco & Guy Tchuente, 2015. "Efficient estimation with many weak instruments using regularization techniques," Studies in Economics 1517, School of Economics, University of Kent.
- Guy Tchuente & Marine Carrasco, 2013. "Efficient estimation with many weak instruments using regularization techniques," CIRANO Working Papers 2013s-21, CIRANO.
- Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
- Antoine, Bertille & Lavergne, Pascal, 2019.
"Identification-Robust Nonparametric Inference in a Linear IV Model,"
TSE Working Papers
19-1004, Toulouse School of Economics (TSE), revised May 2021.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Kotchoni, Rachidi, 2014.
"The indirect continuous-GMM estimation,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 464-488.
- Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
- Dakyung Seong, 2022. "Binary response model with many weak instruments," Papers 2201.04811, arXiv.org, revised Jun 2024.
- Xiaolin Sun, 2022. "Estimation of Heterogeneous Treatment Effects Using a Conditional Moment Based Approach," Papers 2210.15829, arXiv.org, revised Oct 2024.
- Jean Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019.
"Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data,"
Post-Print
hal-03549991, HAL.
- Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.
- Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019. "Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Annals of Economics and Statistics, GENES, issue 134, pages 79-108.
- Juan Carlos Escanciano & Joel Robert Terschuur, 2022. "Machine Learning Inference on Inequality of Opportunity," Papers 2206.05235, arXiv.org, revised Oct 2023.
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
- Bertille Antoine & Xiaolin Sun, 2020. "Partially Linear Models with Endogeneity: a conditional moment based approach," Discussion Papers dp20-06, Department of Economics, Simon Fraser University.
- Jinho Choi & Juan Carlos Escanciano & Junjie Guo, 2022. "Generalized band spectrum estimation with an application to the New Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1055-1078, August.
- Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
- Feir, Donna & Lemieux, Thomas & Marmer, Vadim, 2010.
"Weak Identification in Fuzzy Regression Discontinuity Designs,"
Microeconomics.ca working papers
vadim_marmer-2010-19, Vancouver School of Economics, revised 17 Apr 2016.
- Donna Feir & Thomas Lemieux & Vadim Marmer, 2016. "Weak Identification in Fuzzy Regression Discontinuity Designs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 185-196, April.
- Carlos Velasco & Xuexin Wang, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
- Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
Articles
- Antoine, Bertille & Lavergne, Pascal, 2023.
"Identification-robust nonparametric inference in a linear IV model,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
See citations under working paper version above.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- Bertille Antoine & Xiaolin Sun, 2022.
"Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions],"
The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
See citations under working paper version above.
- Bertille Antoine & Xiaolin Sun, 2020. "Partially Linear Models with Endogeneity: a conditional moment based approach," Discussion Papers dp20-06, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Dovonon, Prosper, 2021.
"Robust estimation with exponentially tilted Hellinger distance,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
See citations under working paper version above.
- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2017. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp17-15, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation with Exponentially Tilted Hellinger Distance," CIRANO Working Papers 2018s-38, CIRANO.
- Antoine, Bertille & Renault, Eric, 2020.
"Testing identification strength,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
See citations under working paper version above.
- Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Bertille Antoine & Eric Renault, 2018. "Testing Identification Strength," Discussion Papers dp18-07, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Boldea, Otilia, 2018.
"Efficient estimation with time-varying information and the New Keynesian Phillips Curve,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
Cited by:
- Barnichon, Regis & Mesters, Geert, 2019.
"Identifying Modern Macro Equations with Old Shocks,"
CEPR Discussion Papers
13765, C.E.P.R. Discussion Papers.
- Régis Barnichon & Geert Mesters, 2019. "Identifying Modern Macro Equations with Old Shocks," Working Papers 1097, Barcelona School of Economics.
- Régis Barnichon & Geert Mesters, 2019. "Identifying modern macro equations with old shocks," Economics Working Papers 1659, Department of Economics and Business, Universitat Pompeu Fabra.
- Regis Barnichon & Geert Mesters, 2020. "Identifying Modern Macro Equations with Old Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2255-2298.
- Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020.
"Time-Varying Instrumental Variable Estimation,"
CEPR Discussion Papers
15210, C.E.P.R. Discussion Papers.
- Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
- Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021. "Time-varying instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2016.
"Testing for a Threshold in Models with Endogenous Regressors,"
Other publications TiSEM
40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- Jinho Choi & Juan Carlos Escanciano & Junjie Guo, 2022. "Generalized band spectrum estimation with an application to the New Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1055-1078, August.
- Aquino, Juan, 2019. "The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness," Working Papers 2019-019, Banco Central de Reserva del Perú.
- Barnichon, Regis & Mesters, Geert, 2019.
"Identifying Modern Macro Equations with Old Shocks,"
CEPR Discussion Papers
13765, C.E.P.R. Discussion Papers.
- Bertille Antoine & Eric Renault, 2017.
"On the relevance of weaker instruments,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 928-945, October.
See citations under working paper version above.
- Bertille Antoine & Eric Renault, 2014. "On the relevance of weaker instruments," Discussion Papers dp14-04, Department of Economics, Simon Fraser University, revised 10 Oct 2016.
- Antoine, Bertille & Lavergne, Pascal, 2014.
"Conditional moment models under semi-strong identification,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
See citations under working paper version above.
- Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Antoine, Bertille & Renault, Eric, 2012.
"Efficient minimum distance estimation with multiple rates of convergence,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
See citations under working paper version above.
- Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
- Bertille Antoine, 2010.
"Portfolio Selection with Estimation Risk: A Test-Based Approach,"
Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 164-197, 2012 10 1.
Cited by:
- Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013.
"Risks of Large Portfolios,"
Papers
1302.0926, arXiv.org.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
- Jin-Ray Lu & Chih-Ming Chan & Wen-Shen Li, 2011. "Portfolio Selections with Innate Learning Ability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 201-217, December.
- Ertugrul Bayraktar & Ayse Humeyra Bilge, 2012. "Determination the Parameters of Markowitz Portfolio Optimization Model," Papers 1210.5859, arXiv.org.
- Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013.
"Risks of Large Portfolios,"
Papers
1302.0926, arXiv.org.
- Bertille Antoine & Eric Renault, 2009.
"Efficient GMM with nearly-weak instruments,"
Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 135-171, January.
Cited by:
- Juodis, Artūras & Sarafidis, Vasilis, 2022.
"An incidental parameters free inference approach for panels with common shocks,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
- Juodis, Arturas & Sarafidis, Vasilis, 2020. "An Incidental Parameters Free Inference Approach for Panels with Common Shocks," MPRA Paper 104906, University Library of Munich, Germany.
- Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
- Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
- Donald W. K. Andrews & Xu Cheng, 2011.
"Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure,"
Cowles Foundation Discussion Papers
1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
- Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
- Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
- Mehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.
- Donald W.K. Andrews & Xu Cheng, 2011.
"GMM Estimation and Uniform Subvector Inference with Possible Identification Failure,"
Cowles Foundation Discussion Papers
1828, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
- Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
- Dakyung Seong, 2022. "Binary response model with many weak instruments," Papers 2201.04811, arXiv.org, revised Jun 2024.
- Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
- Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
- Antoine, Bertille & Renault, Eric, 2012.
"Efficient minimum distance estimation with multiple rates of convergence,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
- Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
- Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
- Frazier, David T. & Renault, Eric & Zhang, Lina & Zhao, Xueyan, 2021.
"Weak Identification in Discrete Choice Models,"
The Warwick Economics Research Paper Series (TWERPS)
1336, University of Warwick, Department of Economics.
- David T. Frazier & Eric Renault & Lina Zhang & Xueyan Zhao, 2020. "Weak Identification in Discrete Choice Models," Papers 2011.06753, arXiv.org, revised Jan 2021.
- Antoine, Bertille & Lavergne, Pascal, 2014.
"Conditional moment models under semi-strong identification,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
- Bertille Antoine & Pascal Lavergne, 2011. "Conditional Moment Models under Semi-Strong Identification," Discussion Papers dp11-04, Department of Economics, Simon Fraser University, revised Dec 2012.
- Nandana Sengupta & Fallaw Sowell, 2019. "The Ridge Path Estimator for Linear Instrumental Variables," Papers 1908.09237, arXiv.org.
- Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2019.
"Asymptotic F Tests under Possibly Weak Identification,"
University of California at San Diego, Economics Working Paper Series
qt6qk200q8, Department of Economics, UC San Diego.
- Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020. "Asymptotic F tests under possibly weak identification," Journal of Econometrics, Elsevier, vol. 218(1), pages 140-177.
- Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
- Krogh, Tord S., 2015. "Macro frictions and theoretical identification of the New Keynesian Phillips curve," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 191-204.
- Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
- Feir, Donna & Lemieux, Thomas & Marmer, Vadim, 2010.
"Weak Identification in Fuzzy Regression Discontinuity Designs,"
Microeconomics.ca working papers
vadim_marmer-2010-19, Vancouver School of Economics, revised 17 Apr 2016.
- Donna Feir & Thomas Lemieux & Vadim Marmer, 2016. "Weak Identification in Fuzzy Regression Discontinuity Designs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 185-196, April.
- Fallaw Sowell & Nandana Sengupta, 2021. "Inference for the Linear IV Model Ridge Estimator Using Training and Test Samples," Stats, MDPI, vol. 4(3), pages 1-20, September.
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
- Bertille Antoine & Eric Renault, 2018.
"Testing Identification Strength,"
Discussion Papers
dp18-07, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
- Alexander Mayer, 2022. "Estimation and inference in adaptive learning models with slowly decreasing gains," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 720-749, September.
- Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
- Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
- Nandana Sengupta & Fallaw Sowell, 2020. "On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples," Econometrics, MDPI, vol. 8(4), pages 1-25, October.
- Juodis, Artūras & Sarafidis, Vasilis, 2022.
"An incidental parameters free inference approach for panels with common shocks,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
- Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007.
"On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood,"
Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
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"Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators,"
Discussion Papers
2014-02, School of Economics, The University of New South Wales.
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- Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
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- Antoine, Bertille & Dovonon, Prosper, 2021.
"Robust estimation with exponentially tilted Hellinger distance,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
- Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp18-06, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2017. "Robust Estimation With Exponentially Tilted Hellinger Distance," Discussion Papers dp17-15, Department of Economics, Simon Fraser University.
- Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation with Exponentially Tilted Hellinger Distance," CIRANO Working Papers 2018s-38, CIRANO.
- Alain Guay & Jean-François Lamarche, 2008.
"The Information Content of Implied Probabilities to Detect Structural Change,"
Cahiers de recherche
0833, CIRPEE.
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"Smooth Minimum Distance Estimation and Testing with Conditional Estimating Equations: Uniform in Bandwidth Theory,"
TSE Working Papers
13-404, Toulouse School of Economics (TSE).
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"A Unifying Approach to the Empirical Evaluation of Asset Pricing Models,"
CEPR Discussion Papers
7943, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers 488, Barcelona School of Economics.
- Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
- Francisco Peñaranda & Enrique Sentana, 2010. "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
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"Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
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"Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 465-514, April.
- Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
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"A New Class of Tests for Overidentifying Restrictions in Moment Condition Models,"
MPRA Paper
69004, University Library of Munich, Germany.
- Xuexin Wang, 2020. "A new class of tests for overidentifying restrictions in moment condition models," Econometric Reviews, Taylor & Francis Journals, vol. 39(5), pages 495-509, May.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015.
"Robustness of bootstrap in instrumental variable regression,"
LSE Research Online Documents on Economics
60185, London School of Economics and Political Science, LSE Library.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
- Daniel Becker & Alois Kneip & Valentin Patilea, 2021. "Semiparametric inference for partially linear regressions with Box-Cox transformation," Papers 2106.10723, arXiv.org.
- Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
- Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
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"Improved Density and Distribution Function Estimation,"
Papers
1711.04793, arXiv.org, revised Jun 2018.
- Vitaliy Oryshchenko & Richard J. Smith, 2018. "Improved density and distribution function estimation," CeMMAP working papers CWP47/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Pierre Chausse & George Luta, 2017. "Casual Inference using Generalized Empirical Likelihood Methods," Working Papers 1707, University of Waterloo, Department of Economics, revised Dec 2017.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- Alain Guay & Florian Pelgrin, 2016. "Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 344-372, March.
- Amélie Crépet & Hugo Harari-Kermadec & Jessica Tressou, 2009. "Using Empirical Likelihood to Combine Data: Application to Food Risk Assessment," Biometrics, The International Biometric Society, vol. 65(1), pages 257-266, March.
- Pierre Chaussé & Jin Liu & George Luta, 2016. "A Simulation-Based Comparison of Covariate Adjustment Methods for the Analysis of Randomized Controlled Trials," IJERPH, MDPI, vol. 13(4), pages 1-15, April.
- Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
- Enrique Sentana & Francisco Penaranda, 2004.
"Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach,"
FMG Discussion Papers
dp497, Financial Markets Group.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
- Morales-Oñate, Víctor & Crudu, Federico & Bevilacqua, Moreno, 2021.
"Blockwise Euclidean likelihood for spatio-temporal covariance models,"
Econometrics and Statistics, Elsevier, vol. 20(C), pages 176-201.
- Víctor Morales-Oñate & Federico Crudu & Moreno Bevilacqua, 2020. "Blockwise Euclidean likelihood for spatio-temporal covariance models," Department of Economics University of Siena 822, Department of Economics, University of Siena.
- de Carvalho, Miguel & Oumow, Boris & Segers, Johan & WarchoÅ‚, MichaÅ‚, 2012. "A Euclidean likelihood estimator for bivariate tail dependence," LIDAM Discussion Papers ISBA 2012013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
- Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Chunrong Ai & Xiaohong Chen, 2009.
"Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions,"
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1731, Cowles Foundation for Research in Economics, Yale University.
- Chunrong Ai & Xiaohong Chen, 2009. "Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," CeMMAP working papers CWP28/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
- Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
- Jose Blanchet & Yang Kang, 2021. "Sample Out-of-Sample Inference Based on Wasserstein Distance," Operations Research, INFORMS, vol. 69(3), pages 985-1013, May.
- Bertille Antoine & Eric Renault, 2018.
"Testing Identification Strength,"
Discussion Papers
dp18-07, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
- Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
- Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
- Lavergne, Pascal & Nguimkeu, Pierre, 2016. "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers 16-743, Toulouse School of Economics (TSE).
- Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Kiwitt, Sebastian & Nagel, Eva-Renate & Neumeyer, Natalie, 2005. "Empirical likelihood estimators for the error distribution in nonparametric regression models," Technical Reports 2005,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Amélie Crepet & Hugo Harari-Kermadec & Jessica Tressou, 2007. "Using Empirical Likelihood to Combine Data : Application to Food Risk Assessment," Working Papers 2007-20, Center for Research in Economics and Statistics.
- Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
- Hill, Jonathan B., 2015. "Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 131-152.
- Gospodinov, Nikolay & Otsu, Taisuke, 2012.
"Local GMM estimation of time series models with conditional moment restrictions,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
- Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
- Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
- Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
- Federico Crudu, 2017. "Errors-in-Variables Models with Many Proxies," Department of Economics University of Siena 774, Department of Economics, University of Siena.
- Bertille Antoine & Kevin Proulx & Eric Renault, 0.
"Pseudo-True SDFs in Conditional Asset Pricing Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 656-714.
Cited by:
- Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
- Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (13) 2012-04-10 2012-04-10 2012-09-30 2014-07-13 2014-08-09 2015-06-13 2015-06-20 2017-09-24 2019-04-29 2020-03-16 2020-08-10 2021-10-11 2024-08-12. Author is listed
- NEP-ORE: Operations Research (6) 2015-06-20 2019-04-29 2020-03-09 2020-03-16 2020-08-10 2021-10-11. Author is listed
- NEP-ETS: Econometric Time Series (1) 2024-08-12
- NEP-PBE: Public Economics (1) 2012-04-10
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