Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

DOI10.1016/S0304-4076(00)00077-4zbMath0967.62095MaRDI QIDQ5931142

Biao Lu, Donald W. K. Andrews

Publication date: 2 September 2001

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

zbMATH Keywords

model selectionAkaike information criterionBayesian information criterionconsistent selection proceduregeneralized method of moments estimatorinstrumental variables estimatormoment selectionpanel data modeltest of over-identifying restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (53)

GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model ⋮ Variable selection in generalized random coefficient autoregressive models ⋮ Estimation and inference in the case of competing sets of estimating equations ⋮ Nearly-singular design in GMM and generalized empirical likelihood estimators ⋮ The optimal choice of moments in dynamic panel data models ⋮ Econometric estimation with high-dimensional moment equalities ⋮ ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES ⋮ Branching stochastic processes with immigration in analysis of renewing cell populations ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS ⋮ On selection of statistics for approximate Bayesian computing (or the method of simulated moments) ⋮ Oracle GMM estimation for misspecified models via thresholding ⋮ Model averaging based on generalized method of moments ⋮ Adaptive k-class estimation in high-dimensional linear models ⋮ Panel data models with multiple time-varying individual effects ⋮ Detection of structural breaks in linear dynamic panel data models ⋮ Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models ⋮ Two robust tools for inference about causal effects with invalid instruments ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ High dimensional semiparametric moment restriction models ⋮ Does household borrowing reduce the trade balance? Evidence from developing and developed countries ⋮ Monetary policy rules and opinionated markets ⋮ Testing for Trend Specifications in Panel Data Models ⋮ The analysis of multivariate longitudinal data using multivariate marginal models ⋮ Over-identified doubly robust identification and estimation ⋮ Culling the Herd of Moments with Penalized Empirical Likelihood ⋮ Identification of a Triangular Two Equation System Without Instruments ⋮ Technological innovation, natural resources, financial inclusion, and environmental degradation in BRI economies ⋮ Bayesian model selection based on parameter estimates from subsamples ⋮ Statistical inference in dynamic panel data models ⋮ CHALLENGES FOR ECONOMETRIC MODEL SELECTION ⋮ LASSO-TYPE GMM ESTIMATOR ⋮ 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 ⋮ Regularization parameter selection for penalized empirical likelihood estimator ⋮ Model selection in the presence of nonstationarity ⋮ Size matters: covariance matrix estimation under the alternative ⋮ Density ratio model selection ⋮ Endogeneity in high dimensions ⋮ Variable selection for structural equation with endogeneity ⋮ An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification ⋮ Bayesian averaging, prediction and nonnested model selection ⋮ A statistical procedure for testing financial contagion ⋮ A bootstrap approach to moment selection ⋮ Unit root test for short panels with serially correlated errors ⋮ On CUSUM test for dynamic panel models ⋮ Count Data Models with Correlated Unobserved Heterogeneity ⋮ Regional patterns in technological progress of Poland: the role of EU structural funds ⋮ Bayesian model averaging for dynamic panels with an application to a trade gravity model ⋮ Moment and IV Selection Approaches: A Comparative Simulation Study ⋮ Estimation of Sparse Structural Parameters with Many Endogenous Variables ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^† ⋮ PVAR model with collapsed instruments in the real exchange rates misalignment's analysis

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