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Information in generalized method of moments estimation and entropy-based moment selection

Citations

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Cited by:

  1. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, September.
  2. Scheufele, Rolf, 2010. "Evaluating the German (New Keynesian) Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 145-164, August.
  3. Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton, 2017. "Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 23-41, March.
  4. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
  5. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
  6. Tchatoka, Firmin Doko, 2015. "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
  7. De Lipsis, Vincenzo, 2021. "Is time preference different across incomes and countries?," Economics Letters, Elsevier, vol. 201(C).
  8. Poghosyan, Karen & Boldea, Otilia, 2013. "Structural versus matching estimation: Transmission mechanisms in Armenia," Economic Modelling, Elsevier, vol. 30(C), pages 136-148.
  9. Rolando Einar Paz Rodriguez, 2019. "La función de emparejamiento agregada del mercado laboral chileno," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 34(1), pages 85-110, April.
  10. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
  11. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
  12. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
  13. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  14. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
  15. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
  16. Lina Zhang & David T. Frazier & Don S. Poskitt & Xueyan Zhao, 2020. "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Monash Econometrics and Business Statistics Working Papers 34/20, Monash University, Department of Econometrics and Business Statistics.
  17. 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.
  18. Tae-Hwy Lee & Tao Wang, 2023. "Estimation and Testing of Forecast Rationality with Many Moments," Papers 2309.09481, arXiv.org.
  19. Ng Serena & Bai Jushan, 2009. "Selecting Instrumental Variables in a Data Rich Environment," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-34, April.
  20. P. Čížek & M. Aquaro, 2018. "Robust estimation and moment selection in dynamic fixed-effects panel data models," Computational Statistics, Springer, vol. 33(2), pages 675-708, June.
  21. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
  22. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
  23. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
  24. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
  25. 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.
  26. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
  27. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
  28. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
  29. Yiying Cheng & Yaozhong Hu & Hongwei Long, 2020. "Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 53-81, April.
  30. Yanli Ma & Jieyu Zhu & Gaofeng Gu & Ke Chen, 2020. "Freight Transportation and Economic Growth for Zones: Sustainability and Development Strategy in China," Sustainability, MDPI, vol. 12(24), pages 1-17, December.
  31. Chen, Weihao & Cizek, Pavel, 2023. "Bias-Corrected Instrumental Variable Estimation in Linear Dynamic Panel Data Models," Other publications TiSEM 9bf2c16c-522f-4223-8037-c, Tilburg University, School of Economics and Management.
  32. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection," Economics Letters, Elsevier, vol. 105(1), pages 83-85, October.
  33. 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.
  34. Tobias Rühl, 2015. "Taylor rules revisited: ECB and Bundesbank in comparison," Empirical Economics, Springer, vol. 48(3), pages 951-967, May.
  35. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
  36. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
  37. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  38. Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "A comparative study of three data-based methods of instrument selection," Economics Letters, Elsevier, vol. 105(3), pages 280-283, December.
  39. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
  40. repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
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