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Higher order properties of GMM and generalised empirical likelihood estimators

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Cited by:

  1. Lee, Seojeong, 2016. "Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators," Journal of Econometrics, Elsevier, vol. 192(1), pages 86-104.
  2. Ming‐Yueh Huang & Chiung‐Yu Huang, 2023. "Improved semiparametric estimation of the proportional rate model with recurrent event data," Biometrics, The International Biometric Society, vol. 79(3), pages 1686-1700, September.
  3. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  4. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
  5. J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, March.
  6. Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong, 2015. "High dimensional generalized empirical likelihood for moment restrictions with dependent data," Journal of Econometrics, Elsevier, vol. 185(1), pages 283-304.
  7. Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2015. "Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 286-327, March.
  8. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
  9. Carlo Altavilla & Raffaella Giacomini & Giuseppe Ragusa, 2017. "Anchoring the yield curve using survey expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1055-1068, September.
  10. Menzel, Konrad, 2014. "Consistent estimation with many moment inequalities," Journal of Econometrics, Elsevier, vol. 182(2), pages 329-350.
  11. Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi, 2011. "On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments," Journal of Econometrics, Elsevier, vol. 165(1), pages 58-69.
  12. Sheng-Pin Hsueh & Wei-Ming Lee, 2012. "A revisit to the relationship between patents and R&D using empirical likelihood estimation," Economics Bulletin, AccessEcon, vol. 32(2), pages 1208-1214.
  13. Marmer, Vadim & Otsu, Taisuke, 2012. "Optimal comparison of misspecified moment restriction models under a chosen measure of fit," Journal of Econometrics, Elsevier, vol. 170(2), pages 538-550.
  14. Victor Chernozhukov & Iv·n Fern·ndez-Val & Alfred Galichon, 2010. "Quantile and Probability Curves Without Crossing," Econometrica, Econometric Society, vol. 78(3), pages 1093-1125, May.
  15. Susanne M. Schennach, 2012. "Measurement error in nonlinear models - a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  16. John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
  17. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2018. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
  18. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
  19. 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.
  20. Patrik Guggenberger, 2005. "Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-6.
  21. Daniel Czarnowske & Amrei Stammann, 2020. "Inference in Unbalanced Panel Data Models with Interactive Fixed Effects," Papers 2004.03414, arXiv.org.
  22. repec:ebl:ecbull:v:3:y:2005:i:13:p:1-6 is not listed on IDEAS
  23. 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.
  24. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
  25. Kunitomo, Naoto & Matsushita, Yukitoshi, 2009. "Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1727-1751, September.
  26. Grigory Franguridi & Bulat Gafarov & Kaspar Wuthrich, 2020. "Bias correction for quantile regression estimators," Papers 2011.03073, arXiv.org, revised Nov 2024.
  27. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
  28. Esmeralda A. Ramalho & Joaquim J. S. Ramalho, 2006. "Two‐Step Empirical Likelihood Estimation Under Stratified Sampling When Aggregate Information Is Available," Manchester School, University of Manchester, vol. 74(5), pages 577-592, September.
  29. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  30. Gross, Marco, 2009. "Nonparametric Hybrid Phillips Curves Based on Subjective Expectations: Estimates for the Euro Area," Working Paper Series 1119, European Central Bank.
  31. Hayakawa, K. & Pesaran, M.H., 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models," Cambridge Working Papers in Economics 1224, Faculty of Economics, University of Cambridge.
  32. James Malcomson & Sophocles Mavroeidis, 2010. "Nash Bargaining, Credible Bargaining and Efficiency Wages in a Matching Model for the US," Economics Series Working Papers 511, University of Oxford, Department of Economics.
  33. Whang, Yoon-Jae, 2006. "Smoothed Empirical Likelihood Methods For Quantile Regression Models," Econometric Theory, Cambridge University Press, vol. 22(2), pages 173-205, April.
  34. Xiaohong Chen & Lars Peter Hansen & Peter G. Hansen, 2020. "Robust identification of investor beliefs," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(52), pages 33130-33140, December.
  35. Yugang He, 2024. "China’s digital shadows: unveiling the economic toll of cybercrime," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  36. Fabio Sanches & Daniel Silva Junior & Sorawoot Srisuma, 2018. "Minimum Distance Estimation of Search Costs Using Price Distribution," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 658-671, October.
  37. Madeira, João & Palma, Nuno, 2018. "Measuring monetary policy deviations from the Taylor rule," Economics Letters, Elsevier, vol. 168(C), pages 25-27.
  38. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
  39. Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  40. Sowell, Fallaw, 2009. "The empirical saddlepoint likelihood estimator applied to two-step GMM," MPRA Paper 15494, University Library of Munich, Germany, revised May 2009.
  41. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
  42. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  43. 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.
  44. Susanne M. Schennach & Daniel Wilhelm, 2017. "A Simple Parametric Model Selection Test," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1663-1674, October.
  45. Lorenzo Camponovo & Taisuke Otsu, 2017. "Relative error accurate statistic based on nonparametric likelihood," STICERD - Econometrics Paper Series 593, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  46. Otsu, Taisuke, 2010. "On Bahadur efficiency of empirical likelihood," Journal of Econometrics, Elsevier, vol. 157(2), pages 248-256, August.
  47. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
  48. Komunjer, Ivana & Ragusa, Giuseppe, 2016. "Existence And Characterization Of Conditional Density Projections," Econometric Theory, Cambridge University Press, vol. 32(4), pages 947-987, August.
  49. Crudu, Federico & Osorio, Felipe, 2020. "Bilinear form test statistics for extremum estimation," Economics Letters, Elsevier, vol. 187(C).
  50. Cui, Li-E & Zhao, Puying & Tang, Niansheng, 2022. "Generalized empirical likelihood for nonsmooth estimating equations with missing data," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
  51. Andrew Chia, 2021. "Automatically Differentiable Random Coefficient Logistic Demand Estimation," Papers 2106.04636, arXiv.org.
  52. 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.
  53. Mehmet Caner, 2010. "Exponential Tilting with Weak Instruments: Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(3), pages 307-325, June.
  54. 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.
  55. Taisuke Otsu & Chen Qiu, 2018. "Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect," STICERD - Econometrics Paper Series 595, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  56. Yuichi Kitamura & Andres Santos & Azeem M. Shaikh, 2012. "On the Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions," Econometrica, Econometric Society, vol. 80(1), pages 413-423, January.
  57. Bravo, Francesco, 2009. "Two-step generalised empirical likelihood inference for semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1412-1431, August.
  58. Iglesias, Emma M. & Phillips, Garry D.A., 2008. "Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence," Economics Letters, Elsevier, vol. 99(2), pages 393-397, May.
  59. 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.
  60. 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.
  61. Otsu, Taisuke & Seo, Myung Hwan & Whang, Yoon-Jae, 2012. "Testing for non-nested conditional moment restrictions using unconditional empirical likelihood," Journal of Econometrics, Elsevier, vol. 167(2), pages 370-382.
  62. 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.
  63. Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," Journal of Econometrics, Elsevier, vol. 186(1), pages 94-112.
  64. Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
  65. Susanne M. Schennach, 2014. "Entropic Latent Variable Integration via Simulation," Econometrica, Econometric Society, vol. 82(1), pages 345-385, January.
  66. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  67. Thierry Post & Valerio Potì, 2017. "Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood," Management Science, INFORMS, vol. 63(1), pages 153-165, January.
  68. Wilhelm, Daniel, 2015. "Optimal Bandwidth Selection For Robust Generalized Method Of Moments Estimation," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1054-1077, October.
  69. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
  70. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
  71. Kai-Tai Fang & Rahul Mukerjee, 2006. "Empirical-type likelihoods allowing posterior credible sets with frequentist validity: Higher-order asymptotics," Biometrika, Biometrika Trust, vol. 93(3), pages 723-733, September.
  72. Hansen, Christian & Kozbur, Damian, 2014. "Instrumental variables estimation with many weak instruments using regularized JIVE," Journal of Econometrics, Elsevier, vol. 182(2), pages 290-308.
  73. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, vol. 21(4), pages 667-709, August.
  74. Miguel A. Tovar and Emma M. Iglesias, 2013. "Capital-Energy Relationships: An Analysis when Disaggregating by Industry and Different Types of Capital," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  75. 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.
  76. Taisuke Otsu & Ke-Li Xu & Yukitoshi Matsushita, 2013. "Estimation and Inference of Discontinuity in Density," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 507-524, October.
  77. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  78. Prosper Dovonon & Alastair Hall, 2018. "The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification," CIRANO Working Papers 2018s-37, CIRANO.
  79. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  80. Yoshitsugu Kitazawa, 2014. "Consistent estimation for the full-fledged fixed effects zero-inflated Poisson model," Discussion Papers 66, Kyushu Sangyo University, Faculty of Economics.
  81. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
  82. Damba Lkhagvasuren, 2009. "Large Locational Differences in Unemployment Despite High Labor Mobility: Impact of Moving Cost on Aggregate Unemployment and Welfare," Working Papers 09009, Concordia University, Department of Economics, revised Mar 2010.
  83. Yu‐Chin Hsu & Xiaoxia Shi, 2017. "Model‐selection tests for conditional moment restriction models," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 52-85, February.
  84. Christian Julliard & Anisha Ghosh, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3037-3076.
  85. Arpita Chatterjee & James Morley & Aarti Singh, 2021. "Estimating household consumption insurance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 628-635, August.
  86. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society.
  87. repec:cep:stiecm:/2014/572 is not listed on IDEAS
  88. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
  89. 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.
  90. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
  91. 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.
  92. Masakatsu Okubo, 2011. "The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data," Economica, London School of Economics and Political Science, vol. 78(310), pages 367-390, April.
  93. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
  94. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers CWP46/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  95. Aaron Chalfin & Justin McCrary, 2013. "The Effect of Police on Crime: New Evidence from U.S. Cities, 1960-2010," NBER Working Papers 18815, National Bureau of Economic Research, Inc.
  96. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
  97. Jiayin Zheng & Junshan Shen & Shuyuan He, 2014. "Adjusted empirical likelihood for right censored lifetime data," Statistical Papers, Springer, vol. 55(3), pages 827-839, August.
  98. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
  99. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  100. M. Ryan Haley & Todd B. Walker, 2010. "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 983-1006, October.
  101. Jean-Pierre Florens & Anna Simoni, 2021. "Gaussian Processes and Bayesian Moment Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 482-492, March.
  102. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
  103. Shane M. Sherlund, 2004. "Quasi Empirical Likelihood Estimation of Moment Condition Models," Econometric Society 2004 North American Summer Meetings 507, Econometric Society.
  104. 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.
  105. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  106. Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper 68676, University Library of Munich, Germany.
  107. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
  108. Zhang, Jia & Shi, Haoming & Tian, Lemeng & Xiao, Fengjun, 2019. "Penalized generalized empirical likelihood in high-dimensional weakly dependent data," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 270-283.
  109. De Silva, Dakshina G. & Hubbard, Timothy P. & Schiller, Anita R. & Tsionas, Mike G., 2023. "Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 278-294.
  110. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
  111. Sigmund, Michael & Ferstl, Robert, 2021. "Panel vector autoregression in R with the package panelvar," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 693-720.
  112. Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021. "Solving dynamic discrete choice models using smoothing and sieve methods," Journal of Econometrics, Elsevier, vol. 223(2), pages 328-360.
  113. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
  114. Luis Alvarez & Cristine Pinto & Vladimir Ponczek, 2022. "Homophily in preferences or meetings? Identifying and estimating an iterative network formation model," Papers 2201.06694, arXiv.org, revised Mar 2024.
  115. Kyoo Il Kim, 2016. "Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency," Econometrics, MDPI, vol. 4(4), pages 1-19, December.
  116. Qinqin Hu & Lu Lin, 2017. "Conditional sure independence screening by conditional marginal empirical likelihood," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(1), pages 63-96, February.
  117. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2021. "Relative error accurate statistic based on nonparametric likelihood," LSE Research Online Documents on Economics 107521, London School of Economics and Political Science, LSE Library.
  118. 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.
  119. T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2006. "A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations with Possibly Many Instruments," CIRJE F-Series CIRJE-F-399, CIRJE, Faculty of Economics, University of Tokyo.
  120. Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
  121. 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.
  122. Aquaro, M., 2013. "Pairwise difference estimation of linear panel data," Other publications TiSEM 2786f9bb-fbe1-4bac-8efc-b, Tilburg University, School of Economics and Management.
  123. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  124. Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
  125. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
  126. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
  127. Otsu, Taisuke, 2011. "Moderate deviations of generalized method of moments and empirical likelihood estimators," Journal of Multivariate Analysis, Elsevier, vol. 102(8), pages 1203-1216, September.
  128. Chen, Song Xi & Cui, Hengjian, 2007. "On the second-order properties of empirical likelihood with moment restrictions," Journal of Econometrics, Elsevier, vol. 141(2), pages 492-516, December.
  129. 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.
  130. Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
  131. 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.
  132. Kyoo il Kim, 2006. "Higher Order Bias Correcting Moment Equation for M-Estimation and its Higher Order Efficiency," Labor Economics Working Papers 22453, East Asian Bureau of Economic Research.
  133. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
  134. 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.
  135. Shixiao Zhang & Peisong Han & Changbao Wu, 2023. "Calibration Techniques Encompassing Survey Sampling, Missing Data Analysis and Causal Inference," International Statistical Review, International Statistical Institute, vol. 91(2), pages 165-192, August.
  136. Ben Maatoug, Abderrazek & Ben Ayed, Wassim & Ftiti, Zied, 2019. "Are MENA banks’ capital buffers countercyclical? Evidence from the Islamic and conventional banking systems," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 109-118.
  137. Carrasco, Marine & Kotchoni, Rachidi, 2017. "Efficient Estimation Using The Characteristic Function," Econometric Theory, Cambridge University Press, vol. 33(2), pages 479-526, April.
  138. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
  139. Parente, Paulo M.D.C. & Smith, Richard J., 2017. "Tests of additional conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 200(1), pages 1-16.
  140. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  141. Jungbin Hwang, 2017. "Simple and Trustworthy Cluster-Robust GMM Inference," Working papers 2017-19, University of Connecticut, Department of Economics, revised Aug 2020.
  142. Patrik Guggenberger & Jinyong Hahn, 2005. "Finite Sample Properties of the Two-Step Empirical Likelihood Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 247-263.
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