Entropy-Based Moment Selection in the Presence of Weak Identification

DOI10.1080/07474930801960261zbMath1482.62025OpenAlexW2093670030MaRDI QIDQ3518456

Alastair R. Hall, Atsushi Inoue, Changmock Shin

Publication date: 8 August 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930801960261

zbMATH Keywords

generalized method of momentsmoment selectioninferenceweak identification

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Information Theoretic and Entropy Methods: An Overview

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Information in generalized method of moments estimation and entropy-based moment selection
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
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• Instrumental Variables Regression with Weak Instruments
• A Consistent Method for the Selection of Relevant Instruments
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• GMM with Weak Identification
• Choosing the Number of Instruments
• Judging Instrument Relevance in Instrumental Variables Estimation
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Linear Statistical Inference and its Applications
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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