منابع مشابه
GMM with many weak moment conditions
Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small in instrumental variable settings. In this paper we give a new variance estimator for GEL that addresses this problem. It is consistent under the usual asymptotics and under ...
متن کاملGmm with Many Moment Conditions By
1 This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data model...
متن کاملAdaptive Elastic Net GMM Estimator with Many Invalid Moment Conditions: A Simultaneous Model and Moment Selection
This paper develops an adaptive elastic-net GMM estimator with many possibly invalid moment conditions. We allow for the number of structural parameters (p0) as well as the number of moment conditions increasing with the sample size (n). The new estimator conducts simultaneous model and moment selection. We estimate the structural parameters along with parameters associated with the invalid mom...
متن کاملAdaptive Elastic Net GMM Estima- tion with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection CENTER FOR POLICY RESEARCH –Spring 2015
This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid moment conditions, where both the number of structural parameters and the number of moment conditions may increase with the sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic regularization and the adaptively weighted...
متن کاملEfficient GMM with nearly-weak identification
This paper is in the line of the recent literature on weak instruments, which, following the seminal approach of Staiger and Stock (1997) and Stock and Wright (2000) captures weak identification by drifting population moment conditions. In contrast with most of the existing literature, we do not specify a priori which parameters are strongly or weakly identified. We rather consider that weaknes...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.871188