Oracle GMM estimation for misspecified models via thresholding

DOI10.1080/03610926.2018.1472786OpenAlexW2901217296MaRDI QIDQ5083448

Presnell, Brett, Mihai C. Giurcanu

Publication date: 20 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1472786

zbMATH Keywords

thresholdingmeasurement errormisspecified modelsoracle propertyinstrumental variable regressionvector autoregressive time seriesGMM inference

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Another look at the instrumental variable estimation of error-components models
• The Adaptive Lasso and Its Oracle Properties
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Thresholding least-squares inference in high-dimensional regression models
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Order estimation in ARMA-models by Lagrangian multiplier tests
• Resampling a coverage pattern
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time series: theory and methods.
• Bootstrap methods: another look at the jackknife
• Empirical likelihood and general estimating equations
• Resampling methods for dependent data
• Bootstrap inference for misspecified moment condition models
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• The jackknife and the bootstrap for general stationary observations
• Asymptotics for Lasso-type estimators.
• Asymptotic optimality of new adaptive test in regression model
• Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
• Identification of Causal Effects Using Instrumental Variables
• LASSO-TYPE GMM ESTIMATOR
• Bootstrap confidence bands for spectra and cross-spectra
• Asymptotic Statistics
• Combining Micro and Macro Data in Microeconometric Models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Information Theoretic Approaches to Inference in Moment Condition Models
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS
• Real Analysis and Probability
• On blocking rules for the bootstrap with dependent data
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION
• Oracle M‐Estimation for Time Series Models
• the Block-Block Bootstrap: Improved Asymptotic Refinements
• Measurement Error in Linear Autoregressive Models
• The bootstrap and Edgeworth expansion
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models