On uniform asymptotic risk of averaging GMM estimators

DOI10.3982/QE711zbMath1445.62067OpenAlexW2963362005WikidataQ127437070 ScholiaQ127437070MaRDI QIDQ3306066

Zhipeng Liao, Xu Cheng, Ruoyao Shi

Publication date: 12 August 2020

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe711

zbMATH Keywords

uniform approximationmisspecificationmodel averagingasymptotic riskgeneralized method of moments (GMM)finite-sample riskgeneralized shrinkage estimatornonstandard estimator

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12)

Related Items (7)

Optimal Model Averaging Based on Generalized Method of Moments ⋮ Optimal model averaging based on forward-validation ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Instrumental variable estimation with first-stage heterogeneity ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Shrinkage for categorical regressors

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