GMM with Many Moment Conditions

Citations

Cited by:

1. Simon Freyaldenhoven & Christian Hansen & Jesse M. Shapiro, 2019. "Pre-event Trends in the Panel Event-Study Design," American Economic Review, American Economic Association, vol. 109(9), pages 3307-3338, September.
   • Simon Freyaldenhoven & Christian Hansen & Jesse M. Shapiro, 2018. "Pre-event Trends in the Panel Event-study Design," NBER Working Papers 24565, National Bureau of Economic Research, Inc.
   • Simon Freyaldenhoven & Christian Hansen & Jesse Shapiro, 2019. "Pre-event Trends in the Panel Event-study Design," Working Papers 19-27, Federal Reserve Bank of Philadelphia.
2. Maurice J. G. Bun & Frank Windmeijer, 2010. "The weak instrument problem of the system GMM estimator in dynamic panel data models," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 95-126, February.
   • Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
   • Maurice J.G. Bun & Frank Windmeijer, 2009. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 09-086/4, Tinbergen Institute.
   • Maurice J.G. Bun & Frank Windmeijer, 2007. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Bristol Economics Discussion Papers 07/595, School of Economics, University of Bristol, UK.
3. Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012. "Instrumental variable estimation with heteroskedasticity and many instruments," Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, July.
   • Jerry Hausman & Whitney K. Newey & Tiemen M. Woutersen & John Chao & Norman Swanson, 2007. "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers CWP22/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
   • Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers 201111, Rutgers University, Department of Economics.
   • Hausman & Newey & Woutersen & Chao & Swanson, 2009. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Economics Working Paper Archive 566, The Johns Hopkins University,Department of Economics.
4. Lee, Yoonseok & Okui, Ryo, 2012. "Hahn–Hausman test as a specification test," Journal of Econometrics, Elsevier, vol. 167(1), pages 133-139.
5. Menzel, Konrad, 2014. "Consistent estimation with many moment inequalities," Journal of Econometrics, Elsevier, vol. 182(2), pages 329-350.
6. Han, Chirok & Phillips, Peter C. B., 2010. "Gmm Estimation For Dynamic Panels With Fixed Effects And Strong Instruments At Unity," Econometric Theory, Cambridge University Press, vol. 26(1), pages 119-151, February.
   • Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation for Research in Economics, Yale University.
7. Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
8. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
   • Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
   • Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
   • Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
   • Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
9. Liu, Xiaodong & Lee, Lung-fei, 2010. "GMM estimation of social interaction models with centrality," Journal of Econometrics, Elsevier, vol. 159(1), pages 99-115, November.
10. Bekker, Paul A. & Crudu, Federico, 2012. "Symmetric Jackknife Instrumental Variable Estimation," MPRA Paper 37853, University Library of Munich, Germany.
11. Canay, Ivan A., 2010. "Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel," Journal of Econometrics, Elsevier, vol. 156(2), pages 284-303, June.
12. Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong, 2022. "A doubly corrected robust variance estimator for linear GMM," Journal of Econometrics, Elsevier, vol. 229(2), pages 276-298.
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    • Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Working Papers 274731767, Lancaster University Management School, Economics Department.
    • Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Papers 1908.07821, arXiv.org, revised May 2020.
13. Wei, Silin & Yang, Yinsheng & Xu, Ying, 2023. "Regional development, agricultural industrial upgrading and carbon emissions: What is the role of fiscal expenditure? —-Evidence from Northeast China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1858-1871.
14. Yanqin Fan & Fang Han & Wei Li & Xiao-Hua Zhou, 2019. "On rank estimators in increasing dimensions," Papers 1908.05255, arXiv.org.
15. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, University Library of Munich, Germany.
16. 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.
17. Matsushita, Yukitoshi & Otsu, Taisuke, 2024. "A jackknife Lagrange multiplier test with many weak instruments," LSE Research Online Documents on Economics 116392, London School of Economics and Political Science, LSE Library.
18. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, September.
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19. Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
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20. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
21. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
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22. Lapo Filistrucchi & Tobias J. Klein, 2013. "Price Competition in Two-Sided Markets with Heterogeneous Consumers and Network Effects," Working Papers 13-20, NET Institute.
23. Murray Michael P., 2017. "Linear Model IV Estimation When Instruments Are Many or Weak," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
24. Pierre‐André Chiappori & Krislert Samphantharak & Sam Schulhofer‐Wohl & Robert M. Townsend, 2014. "Heterogeneity and risk sharing in village economies," Quantitative Economics, Econometric Society, vol. 5, pages 1-27, March.
    • Pierre-André Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2011. "Heterogeneity and Risk Sharing in Village Economies," NBER Working Papers 16696, National Bureau of Economic Research, Inc.
    • Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2013. "Heterogeneity and risk sharking in village economies," Staff Report 483, Federal Reserve Bank of Minneapolis.
    • Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl, 2011. "Heterogeneity and risk sharing in village economies," Working Papers 683, Federal Reserve Bank of Minneapolis.
25. Kola, Katlego & Kodongo, Odongo, 2017. "Macroeconomic risks and REITs returns: A comparative analysis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1228-1243.
26. 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.
27. Calhoun, Gray, 2011. "Hypothesis testing in linear regression when k/n is large," Journal of Econometrics, Elsevier, vol. 165(2), pages 163-174.
    • Calhoun, Gray, 2010. "Hypothesis Testing in Linear Regression when K/N is Large," Staff General Research Papers Archive 32216, Iowa State University, Department of Economics.
28. Guo, Zijian & Kang, Hyunseung & Cai, T. Tony & Small, Dylan S., 2018. "Testing endogeneity with high dimensional covariates," Journal of Econometrics, Elsevier, vol. 207(1), pages 175-187.
29. 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.
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30. Kruiniger, Hugo, 2009. "Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
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31. Maxime Fajeau, 2021. "Too much finance or too many weak instruments?," International Economics, CEPII research center, issue 165, pages 14-36.
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32. Fan, Yanqin & Han, Fang & Li, Wei & Zhou, Xiao-Hua, 2020. "On rank estimators in increasing dimensions," Journal of Econometrics, Elsevier, vol. 214(2), pages 379-412.
33. Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012. "Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments," Econometric Theory, Cambridge University Press, vol. 28(1), pages 42-86, February.
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36. Oliver Fabel & Razvan Pascalau, 2007. "Recruitment of Overeducated Personnel: Insider-Outsider Effects on Fair Employee Selection Practices," TWI Research Paper Series 18, Thurgauer Wirtschaftsinstitut, Universität Konstanz.
37. Peter C. B. Phillips, 2022. "An Econometrician amongst Statisticians: T. W. Anderson," Cowles Foundation Discussion Papers 2333, Cowles Foundation for Research in Economics, Yale University.
38. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.
39. Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
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40. Forchini, Giovanni, 2010. "The Asymptotic Distribution Of The Liml Estimator In A Partially Identified Structural Equation," Econometric Theory, Cambridge University Press, vol. 26(3), pages 917-930, June.
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41. Oliver Fabel & Razvan Pascalau, 2013. "Recruitment of Seemingly Overeducated Personnel: Insider--Outsider Effects on Fair Employee Selection Practices," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 20(1), pages 57-82, February.
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42. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
43. Kruiniger, Hugo, 2009. "Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
    • Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
    • Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
44. Chirok Han & Hyoungjong Kim, 2023. "Dynamic panel GMM estimators with improved finite sample properties using parametric restrictions for dimension reduction," Empirical Economics, Springer, vol. 64(6), pages 2589-2610, June.
45. Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
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    • Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
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46. Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
47. Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R., 2010. "An efficient GMM estimator of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 159(2), pages 303-319, December.
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51. Desiderio Romero-Jordán & Pablo del Río & Cristina Peñasco, 2014. "Household electricity demand in Spanish regions. Public policy implications," Working Papers 2014/24, Institut d'Economia de Barcelona (IEB).
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58. Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney, 2011. "Properties of the CUE estimator and a modification with moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 45-57.
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69. Desiderio Romero-Jordán & Pablo del Río & Cristina Peñasco, 2014. "Household electricity demand in Spanish regions. Public policy implications," Working Papers 2014/24, Institut d'Economia de Barcelona (IEB).
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