Choosing instrumental variables in conditional moment restriction models

DOI10.1016/j.jeconom.2008.10.013zbMath1431.62113OpenAlexW1988362384WikidataQ108880103 ScholiaQ108880103MaRDI QIDQ2628860

Stephen G. Donald, Guido W. Imbens, Whitney K. Newey

Publication date: 18 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1721.1/53516.2

zbMATH Keywords

mean squared errorgeneralized method of momentsgeneralized empirical likelihoodconditional moment restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (18)

The optimal choice of moments in dynamic panel data models ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Tests of additional conditional moment restrictions ⋮ Simultaneous estimation and inference for multiple response variables ⋮ GMM quantile regression ⋮ A model‐averaging treatment of multiple instruments in Poisson models with errors ⋮ The analysis of multivariate longitudinal data using multivariate marginal models ⋮ Efficient estimation for longitudinal data by combining large-dimensional moment conditions ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ Kernel-weighted GMM estimators for linear time series models ⋮ Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel ⋮ Instrument Assisted Regression for Errors in Variables Models with Binary Response ⋮ Endogeneity in high dimensions ⋮ GMM and misspecification correction for misspecified models with diverging number of parameters ⋮ Count Data Models with Correlated Unobserved Heterogeneity ⋮ Higher order mean squared error of generalized method of moments estimators for nonlinear models ⋮ Stein-like 2SLS estimator ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

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