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Sample selection and information-theoretic alternatives to GMM

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  • Nevo, Aviv

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 107 (2002)
Issue (Month): 1-2 (March)
Pages: 149-157

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Handle: RePEc:eee:econom:v:107:y:2002:i:1-2:p:149-157

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
  2. Joseph G. Altonji & Lewis M. Segal, 1994. "Small sample bias in GMM estimation of covariance structures," Working Paper Series, Macroeconomic Issues 94-8, Federal Reserve Bank of Chicago.
  3. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2000. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," NBER Technical Working Papers 0251, National Bureau of Economic Research, Inc.
  4. Craig Burnside & Martin Eichenbaum, 1994. "Small Sample Properties of Generalized Method of Moments Based Wald Tests," NBER Technical Working Papers 0155, National Bureau of Economic Research, Inc.
  5. Judith K. Hellerstein & Guido W. Imbens, 1999. "Imposing Moment Restrictions From Auxiliary Data By Weighting," The Review of Economics and Statistics, MIT Press, vol. 81(1), pages 1-14, February.
  6. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  7. Imbens, Guido W, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," Review of Economic Studies, Wiley Blackwell, vol. 64(3), pages 359-83, July.
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  9. Golan, Amos & Judge, G. & Miller, D., 1997. "The Maximum Entropy Approach to Estimation and Inference: An Overview," Staff General Research Papers 1327, Iowa State University, Department of Economics.
  10. Back, Kerry & Brown, David P, 1993. "Implied Probabilities in GMM Estimators," Econometrica, Econometric Society, vol. 61(4), pages 971-75, July.
  11. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  12. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
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Cited by:
  1. Aviv Nevo, 2001. "Using Weights to Adjust for Sample Selection When Auxiliary Information is Available," NBER Technical Working Papers 0275, National Bureau of Economic Research, Inc.
  2. Prokhorov, Artem & Schmidt, Peter, 2009. "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.
  3. Bhattacharya, Debopam, 2008. "Inference in panel data models under attrition caused by unobservables," Journal of Econometrics, Elsevier, vol. 144(2), pages 430-446, June.
  4. Inkmann, J., 2005. "Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited," Discussion Paper 2005-131, Tilburg University, Center for Economic Research.
  5. Bryan S. Graham & Cristine Campos De Xavier Pinto & Daniel Egel, 2012. "Inverse Probability Tilting for Moment Condition Models with Missing Data," Review of Economic Studies, Oxford University Press, vol. 79(3), pages 1053-1079.

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