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One-Step Estimators for Over-Identified Generalized Method of Moments Models

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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. Chen, Song Xi & Gao, Jiti, 2007. "An adaptive empirical likelihood test for parametric time series regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 950-972, December.
  3. 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.
  4. 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.
  5. repec:ebl:ecbull:v:3:y:2005:i:13:p:1-6 is not listed on IDEAS
  6. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
  7. 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.
  8. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
  9. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
  10. 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.
  11. Anatolyev, Stanislav, 2008. "Method-of-moments estimation and choice of instruments: Numerical computations," Economics Letters, Elsevier, vol. 100(2), pages 217-220, August.
  12. Madeira, João & Palma, Nuno, 2018. "Measuring monetary policy deviations from the Taylor rule," Economics Letters, Elsevier, vol. 168(C), pages 25-27.
  13. 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.
  14. Sowell, Fallaw, 2009. "The empirical saddlepoint likelihood estimator applied to two-step GMM," MPRA Paper 15494, University Library of Munich, Germany, revised May 2009.
  15. Joachim Inkmann, 2000. "Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation," Econometric Society World Congress 2000 Contributed Papers 0332, Econometric Society.
  16. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
  17. 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.
  18. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  19. 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.
  20. Arndt, Channing & Simler, Kenneth R., 2005. "Estimating utility-consistent poverty lines," FCND briefs 189, International Food Policy Research Institute (IFPRI).
  21. Arndt, Channing & Robinson, Sherman & Tarp, Finn, 2002. "Parameter estimation for a computable general equilibrium model: a maximum entropy approach," Economic Modelling, Elsevier, vol. 19(3), pages 375-398, May.
  22. 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.
  23. Jeffrey M. Wooldridge, 2004. "Estimating average partial effects under conditional moment independence assumptions," CeMMAP working papers 03/04, Institute for Fiscal Studies.
  24. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
  25. 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.
  26. Alexandre Belloni & Victor Chernozhukov, 2014. "Posterior inference in curved exponential families under increasing dimensions," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 75-100, June.
  27. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
  28. 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.
  29. Shane M. Sherlund, 2004. "Quasi Empirical Likelihood Estimation of Moment Condition Models," Econometric Society 2004 North American Summer Meetings 507, Econometric Society.
  30. Yaroslav Mukhin, 2018. "Sensitivity of Regular Estimators," Papers 1805.08883, arXiv.org.
  31. Whitney K. Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers 04/03, Institute for Fiscal Studies.
  32. 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.
  33. 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.
  34. 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.
  35. Clive Bowsher, 2000. "On Testing Overidentifying Restrictions in Dynamic Panel Data Models," Economics Series Working Papers 2000-W28, University of Oxford, Department of Economics.
  36. Nihed Ben Khalifa & Abdessalem Abbassi & Ahlem Dakhlaoui, 2024. "Evaluating the Impacts of Subsidy Removal by Using a Linear-Quadratic Storage Model: the Case of Tunisian Sugar Industry," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 4673-4690, March.
  37. Levent Kutlu & Robin C. Sickles & Mike G. Tsionas & Emmanuel Mamatzakis, 2022. "Heterogeneous decision-making and market power: an application to Eurozone banks," Empirical Economics, Springer, vol. 63(6), pages 3061-3092, December.
  38. 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.
  39. 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.
  40. Giuseppe Ragusa, 2011. "Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 406-456, August.
  41. Devereux, Paul J. & Tripathi, Gautam, 2009. "Optimally combining censored and uncensored datasets," Journal of Econometrics, Elsevier, vol. 151(1), pages 17-32, July.
  42. Kundhi, Gubhinder & Rilstone, Paul, 2012. "Edgeworth expansions for GEL estimators," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 118-146.
  43. Bond, Stephen & Bowsher, Clive & Windmeijer, Frank, 2001. "Criterion-based inference for GMM in autoregressive panel data models," Economics Letters, Elsevier, vol. 73(3), pages 379-388, December.
  44. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
  45. Philip Kostov, 2013. "Empirical likelihood estimation of the spatial quantile regression," Journal of Geographical Systems, Springer, vol. 15(1), pages 51-69, January.
  46. Inkmann, J., 2005. "Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited," Discussion Paper 2005-131, Tilburg University, Center for Economic Research.
  47. Li, Daoji & Pan, Jianxin, 2013. "Empirical likelihood for generalized linear models with longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 63-73.
  48. Qian, Hailong & Schmidt, Peter, 1999. "Improved instrumental variables and generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 91(1), pages 145-169, July.
  49. Hahn, Jinyong & Newey, Whitney K. & Smith, Richard J., 2014. "Neglected heterogeneity in moment condition models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 86-100.
  50. Nevo, Aviv, 2003. "Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 43-52, January.
  51. Smith, Richard J., 2011. "Gel Criteria For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1192-1235, December.
  52. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  53. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
  54. Li, Haiqi & Fan, Rui & Park, Sung Y., 2018. "Generalized empirical likelihood specification test robust to local misspecification," Economics Letters, Elsevier, vol. 171(C), pages 149-153.
  55. Richard Smith, 2004. "GEL Criteria for Moment Condition Models," CeMMAP working papers 19/04, Institute for Fiscal Studies.
  56. Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
  57. 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.
  58. Ding Nan & Pomi Shahbaz & Shamsheer ul Haq & Muhammad Nadeem & Muhammad Imran, 2023. "The Economies’ Ability to Produce Diversified and Complex Goods to Meet the Global Competition: Role of Gross Value Chain, Institutional Quality, and Human Capital," Sustainability, MDPI, vol. 15(8), pages 1-17, April.
  59. Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
  60. Bera, Anil K. & Bilias, Yannis, 2002. "The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 51-86, March.
  61. Kim, Jae-Young, 2002. "Limited information likelihood and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 175-193, March.
  62. Syed, Sarfaraz Ali Shah, 2022. "Stock market in the age of COVID19: Mere acclimatization or Stockholm syndrome?," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  63. Anureet Virk Sidhu & Shailesh Rastogi & Rajani Gupte & Venkata Mrudula Bhimavarapu, 2022. "Impact of Liquidity Coverage Ratio on Performance of Select Indian Banks," JRFM, MDPI, vol. 15(5), pages 1-17, May.
  64. Mikio Ito & Akihiko Noda, 2012. "The GEL estimates resolve the risk-free rate puzzle in Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 365-374, March.
  65. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
  66. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
  67. Kim, Jae-Young, 2014. "An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification," Journal of Econometrics, Elsevier, vol. 178(P1), pages 132-145.
  68. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  69. Susanne M. Schennach, 2007. "Point estimation with exponentially tilted empirical likelihood," Papers 0708.1874, arXiv.org.
  70. 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.
  71. James Heckman & Rosa Matzkin & Lars Nesheim, 2005. "Nonparametric estimation of nonadditive hedonic models," CeMMAP working papers CWP03/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  72. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
  73. Ramalho, Joaquim J. S. & Smith, Richard J., 2002. "Generalized empirical likelihood non-nested tests," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 99-125, March.
  74. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers CWP23/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  75. Israelov, Roni & Lugauer, Steven, 2011. "Combining empirical likelihood and generalized method of moments estimators: Asymptotics and higher order bias," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1339-1347, September.
  76. Hyungsik Roger Moon & Frank Schorfheide, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers 06.56, Institute of Economic Policy Research (IEPR).
  77. Whitney K. Newey & Joaquim J. S. Ramalho Ramalho & Richard Smith, 2003. "Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters," CeMMAP working papers CWP05/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  78. Abbassi Abdessalem & Gervais Jean-Philippe, 2010. "Evaluating Reforms in Canadian Chicken Marketing Mechanisms Using a Linear-Quadratic Inventory Model," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 8(1), pages 1-24, February.
  79. Amor Keziou & Aida Toma, 2021. "A Robust Version of the Empirical Likelihood Estimator," Mathematics, MDPI, vol. 9(8), pages 1-19, April.
  80. Prosper Dovonon, 2016. "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.
  81. 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.
  82. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  83. Hainmueller, Jens, 2012. "Entropy Balancing for Causal Effects: A Multivariate Reweighting Method to Produce Balanced Samples in Observational Studies," Political Analysis, Cambridge University Press, vol. 20(1), pages 25-46, January.
  84. Patrik Guggenberger, 2006. "Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric Reviews," UCLA Economics Online Papers 371, UCLA Department of Economics.
  85. Joachim Inkmann, 2010. "Estimating Firm Size Elasticities of Product and Process R&D," Economica, London School of Economics and Political Science, vol. 77(306), pages 384-402, April.
  86. Zhichao Liu & Catherine Forbes & Heather Anderson, 2017. "Robust Bayesian exponentially tilted empirical likelihood method," Monash Econometrics and Business Statistics Working Papers 21/17, Monash University, Department of Econometrics and Business Statistics.
  87. Joaquim J.S. Ramalho & Richard J. Smith, 2005. "Goodness of Fit Tests for Moment Condition Models," Economics Working Papers 5_2005, University of Évora, Department of Economics (Portugal).
  88. Joe, Harry & Lee, Youngjo, 2009. "On weighting of bivariate margins in pairwise likelihood," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 670-685, April.
  89. Chen, Xiaohong & Hansen, Lars Peter & Hansen, Peter G., 2024. "Robust inference for moment condition models without rational expectations," Journal of Econometrics, Elsevier, vol. 243(1).
  90. Nevo, Aviv, 2002. "Sample selection and information-theoretic alternatives to GMM," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 149-157, March.
  91. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
  92. Jin, Fei & Lee, Lung-fei, 2019. "GEL estimation and tests of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 208(2), pages 585-612.
  93. Esmeralda A. Ramalho & Richard J. Smith, 2013. "Discrete Choice Non-Response," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(1), pages 343-364.
  94. A. Felipe & N. Martín & P. Miranda & L. Pardo, 2018. "Testing with Exponentially Tilted Empirical Likelihood," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1319-1358, December.
  95. Nicky L. Grant & Richard J. Smith, 2018. "GEL-Based Inference from Unconditional Moment Inequality Restrictions," Economics Discussion Paper Series 1802, Economics, The University of Manchester.
  96. Ramalho Joaquim J.S., 2005. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-20, March.
  97. Kim, Doosoo, 2020. "An alternative two-step generalized method of moments estimator based on a reduced form model," Economics Letters, Elsevier, vol. 192(C).
  98. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
  99. Ejike Udeogu (a) , Uzochukwu Amakom (b) and Shampa Roy-Mukherjee (a), 2021. "Empirical Analysis of an Augmented Schumpeterian Endogenous Growth Model," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 46(1), pages 53-84, March.
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