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Combining estimators to improve structural model estimation and inference under quadratic loss

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  • Mittelhammer, Ron C.
  • Judge, George G.

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  • Mittelhammer, Ron C. & Judge, George G., 2005. "Combining estimators to improve structural model estimation and inference under quadratic loss," Journal of Econometrics, Elsevier, vol. 128(1), pages 1-29, September.
    • Handle: RePEc:eee:econom:v:128:y:2005:i:1:p:1-29
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
    3. Sawa, Takamitsu, 1973. "The mean square error of a combined estimator and numerical comparison with the TSLS estimator," Journal of Econometrics, Elsevier, vol. 1(2), pages 115-132, June.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    5. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    6. Freedman, David & Lane, David, 1983. "A Nonstochastic Interpretation of Reported Significance Levels," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 292-298, October.
    7. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
    8. 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.
    9. Judge G.G. & Mittelhammer R.C., 2004. "A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 479-487, January.
    10. Zellner, Arnold, 1998. "The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 185-212.
    11. Kennedy, Peter E, 1995. "Randomization Tests in Econometrics," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 85-94, January.
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    Cited by:

    1. Miller, Douglas J. & Mittelhammer, Ronald C. & Judge, George G., 2004. "Entropy-Based Estimation And Inference In Binary Response Models Under Endogeneity," 2004 Annual meeting, August 1-4, Denver, CO 20319, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Noah Stegehuis, 2024. "Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data," Tinbergen Institute Discussion Papers 24-066/III, Tinbergen Institute.
    3. Breusch, Trevor & Ward, Michael B. & Nguyen, Hoa Thi Minh & Kompas, Tom, 2011. "On the Fixed-Effects Vector Decomposition," Political Analysis, Cambridge University Press, vol. 19(2), pages 123-134, April.
    4. Shi, Ruoyao, 2024. "An Averaging Estimator For Two-Step M-Estimation In Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 40(3), pages 652-687, June.
    5. Judge, George G. & Mittelhammer, Ronald C., 2004. "Estimating the Link Function in Multinomial Response Models under Endogeneity and Quadratic Loss," CUDARE Working Papers 25095, University of California, Berkeley, Department of Agricultural and Resource Economics.
    6. Cl'ement de Chaisemartin & Xavier D'Haultf{oe}uille, 2020. "Empirical MSE Minimization to Estimate a Scalar Parameter," Papers 2006.14667, arXiv.org.
    7. Antonelli Joseph & Cefalu Matthew, 2020. "Averaging causal estimators in high dimensions," Journal of Causal Inference, De Gruyter, vol. 8(1), pages 92-107, January.
    8. Judge, George G. & Mittelhammer, Ron C., 2007. "Estimation and inference in the case of competing sets of estimating equations," Journal of Econometrics, Elsevier, vol. 138(2), pages 513-531, June.

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