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Redundancy of moment conditions

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Cited by:

  1. Saraswata Chaudhuriy & David T. Frazierz & Eric Renault, 2016. "Indirect Inference with Endogenously Missing Exogenous Variables," CIRANO Working Papers 2016s-15, CIRANO.
  2. Kim, Yangseon & Qian, Hailong & Schmidt, Peter, 1999. "Efficient GMM and MD estimation of autoregressive models," Economics Letters, Elsevier, vol. 62(3), pages 265-270, March.
  3. Han, Chirok & Kim, Hyoungjong, 2014. "The role of constant instruments in dynamic panel estimation," Economics Letters, Elsevier, vol. 124(3), pages 500-503.
  4. Alan J. Rogers, 2013. "Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 220-243, February.
  5. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
  6. Loh, Chung-Ping A. & Li, Qiang, 2013. "Peer effects in adolescent bodyweight: Evidence from rural China," Social Science & Medicine, Elsevier, vol. 86(C), pages 35-44.
  7. Domenico Depalo & Raffaella Giordano, 2011. "The public-private pay gap: a robust quantile approach," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 70(1), pages 25-64, January.
  8. Alastair R. Hall & Fernanda P. M. Peixe, 2003. "A Consistent Method for the Selection of Relevant Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
  9. Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R., 2010. "An efficient GMM estimator of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 159(2), pages 303-319, December.
  10. Leonardo Baccini & Soo Kim, 2012. "Preventing protectionism: International institutions and trade policy," The Review of International Organizations, Springer, vol. 7(4), pages 369-398, December.
  11. James Lomas & Stephen Martin & Karl Claxton, 2018. "Estimating the marginal productivity of the English National Health Service from 2003/04 to 2012/13," Working Papers 158cherp, Centre for Health Economics, University of York.
  12. Zhao, Qiran & Yu, Xiaohua & Wang, Xiaobing & Glauben, Thomas, 2014. "The impact of parental migration on children's school performance in rural China," China Economic Review, Elsevier, vol. 31(C), pages 43-54.
  13. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  14. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
  15. Chaudhuri, Saraswata & Renault, Eric, 2023. "Efficient estimation of regression models with user-specified parametric model for heteroskedasticty," The Warwick Economics Research Paper Series (TWERPS) 1473, University of Warwick, Department of Economics.
  16. Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
  17. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  18. Harris, Matthew & Kessler, Lawrence & Murray, Matthew & Glenn, Beth, 2017. "Prescription Opioids and Labor Market Pains: The Effect of Schedule II Opioids on Labor Force Participation and Unemployment," MPRA Paper 86586, University Library of Munich, Germany, revised 28 Mar 2018.
  19. Lina Zhang & David T. Frazier & Don S. Poskitt & Xueyan Zhao, 2020. "Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects," Monash Econometrics and Business Statistics Working Papers 34/20, Monash University, Department of Econometrics and Business Statistics.
  20. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
  21. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
  22. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/generalized method of moments estimation and testing," Stata Journal, StataCorp LP, vol. 7(4), pages 465-506, December.
  23. Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
  24. Murray Michael P., 2017. "Linear Model IV Estimation When Instruments Are Many or Weak," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
  25. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  26. T. Randolph Beard & Jeffrey T. Macher & John W. Mayo, 2015. "'Can you Hear Me Now?' Exit, Voice and Loyalty Under Increasing Competition," Journal of Law and Economics, University of Chicago Press, vol. 58(3).
  27. Sarafidis, Vasilis, 2016. "Neighbourhood GMM estimation of dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 526-544.
  28. Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2023. "DS-HECK: double-lasso estimation of Heckman selection model," Empirical Economics, Springer, vol. 64(6), pages 3167-3195, June.
  29. David T. Frazier & Eric Renault, 2019. "Indirect Inference: Which Moments to Match?," Econometrics, MDPI, vol. 7(1), pages 1-17, March.
  30. Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
  31. Arabsheibani, Reza & Staneva, Anita, 2012. "Returns to Education in Russia: Where There Is Risky Sexual Behaviour There Is Also an Instrument," IZA Discussion Papers 6726, Institute of Labor Economics (IZA).
  32. West, Kenneth D., 2002. "Efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 75(3), pages 415-418, May.
  33. Sarafidis, Vasilis, 2009. "GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence," MPRA Paper 25176, University Library of Munich, Germany.
  34. Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018. "Moment redundancy test with application to efficiency-improving copulas," Economics Letters, Elsevier, vol. 171(C), pages 29-33.
  35. Santiago Pereda-Fernández, 2021. "Copula-Based Random Effects Models for Clustered Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 575-588, March.
  36. Romanos Priftis & Anastasia Theofilakou, 2021. "Growth effects of corporate balance sheet adjustments in the EU," Empirical Economics, Springer, vol. 60(2), pages 773-801, February.
  37. Im, Kyung So & Schmidt, Peter, 2008. "More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares," Journal of Econometrics, Elsevier, vol. 144(1), pages 219-233, May.
  38. Eduardo Fé, 2012. "Instrumental variable estimation of heteroskedasticity adaptive error component models," Statistical Papers, Springer, vol. 53(3), pages 577-615, August.
  39. Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, vol. 101(2), pages 219-255, April.
  40. Martyn Andrews & Obbey Elamin & Alastair R. Hall & Kostas Kyriakoulis & Matthew Sutton, 2017. "Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 23-41, March.
  41. Guo, Zijian & Kang, Hyunseung & Cai, T. Tony & Small, Dylan S., 2018. "Testing endogeneity with high dimensional covariates," Journal of Econometrics, Elsevier, vol. 207(1), pages 175-187.
  42. Tchatoka, Firmin Doko, 2015. "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
  43. Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei, 2015. "Large sample properties of the matrix exponential spatial specification with an application to FDI," Journal of Econometrics, Elsevier, vol. 188(1), pages 1-21.
  44. Wansbeek, Tom, 2001. "GMM estimation in panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 104(2), pages 259-268, September.
  45. He, Yinghua, 2012. "Gaming the Boston School Choice Mechanism in Beijing," TSE Working Papers 12-345, Toulouse School of Economics (TSE).
  46. Han, Chirok & Kim, Beomsoo, 2011. "A GMM interpretation of the paradox in the inverse probability weighting estimation of the average treatment effect on the treated," Economics Letters, Elsevier, vol. 110(2), pages 163-165, February.
  47. Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
  48. Viviana Amati & Felix Schönenberger & Tom A. B. Snijders, 2019. "Contemporaneous Statistics for Estimation in Stochastic Actor-Oriented Co-evolution Models," Psychometrika, Springer;The Psychometric Society, vol. 84(4), pages 1068-1096, December.
  49. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
  50. Liu, Xiaodong & Saraiva, Paulo, 2015. "GMM estimation of SAR models with endogenous regressors," Regional Science and Urban Economics, Elsevier, vol. 55(C), pages 68-79.
  51. Markus Eberhardt & Christian Helmers, 2010. "Untested Assumptions and Data Slicing: A Critical Review of Firm-Level Production Function Estimators," Economics Series Working Papers 513, University of Oxford, Department of Economics.
  52. Baccini, Leonardo & Kim, Soo Yeon, 2012. "Preventing protectionism: international institutions and trade policy," LSE Research Online Documents on Economics 45573, London School of Economics and Political Science, LSE Library.
  53. Kong, Wei & Yang, Kai, 2021. "Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix," Economics Letters, Elsevier, vol. 208(C).
  54. Doğan, Osman & Taşpınar, Süleyman, 2013. "GMM estimation of spatial autoregressive models with moving average disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 903-926.
  55. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers 0706, Centre for Economic Reform and Transformation, Heriot Watt University.
  56. Eduardo Fé Rodríguez, 2009. "Adaptive Instrumental Variable Estimation of Heteroskedastic Error Component Models," Economics Discussion Paper Series 0921, Economics, The University of Manchester.
  57. Esfandiar Maasoumi & Robin Sickles, 2017. "Peter Schmidt: Econometrician and consummate professional," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 1-5, March.
  58. Waddell, G.R., 2012. "Adolescent drug use and the deterrent effect of school-imposed penalties," Economics of Education Review, Elsevier, vol. 31(6), pages 961-969.
  59. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
  60. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
  61. Chaudhuri, Saraswata & Frazier, David T. & Renault, Eric, 2018. "Indirect Inference with endogenously missing exogenous variables," Journal of Econometrics, Elsevier, vol. 205(1), pages 55-75.
  62. Prokhorov, Artem & Schmidt, Peter, 2009. "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.
  63. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
  64. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  65. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
  66. Aniket A. Kawatkar & Joel W. Hay & William Stohl & Michael B. Nichol, 2013. "Incremental Expenditure Of Biologic Disease Modifying Antirheumatic Treatment Using Instrumental Variables In Panel Data," Health Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 807-823, July.
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