Identification strength with a large number of moments

DOI10.1080/07474938.2020.1771903zbMath1490.62445OpenAlexW3039132285MaRDI QIDQ5861019

Hyojin Han, Eric Renault

Publication date: 4 March 2022

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

Full work available at URL: http://wrap.warwick.ac.uk/135582/1/WRAP-Identification-strength-large-number-moments-Renault-2020.pdf

zbMATH Keywords

generalized method of momentsweak identificationalternative asymptotic theory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Robust inference in nonlinear models with mixed identification strength
• Efficient minimum distance estimation with multiple rates of convergence
• Inference in regression models with many regressors
• Discontinuities of weak instrument limiting distributions.
• A local generalized method of moments estimator
• Testing identification strength
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• Efficient Derivative Pricing by the Extended Method of Moments
• Efficient GMM with nearly-weak instruments
• Generalized Method of Moments With Many Weak Moment Conditions
• Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• Instrumental variable estimation with heteroskedasticity and many instruments
• ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

This page was built for publication: Identification strength with a large number of moments