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Choosing instrumental variables in conditional moment restriction models

Donald, Stephen G.; Imbens, Guido; Newey, Whitney K. - In: Journal of econometrics 152 (2009) 1, pp. 28-36

Persistent link: https://www.econbiz.de/10003878744

Choosing instrumental variables in conditional moment restriction models

Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of Econometrics 152 (2009) 1, pp. 28-36

Properties of GMM estimators are sensitive to the choice of instrument. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for...

Persistent link: https://www.econbiz.de/10005022992

Empirical likelihood estimation and consistent tests with conditional moment restrictions

Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of econometrics 117 (2003) 1, pp. 55-94

Persistent link: https://www.econbiz.de/10006761307

Choosing instrumental variables in conditional moment restriction models

Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of econometrics 152 (2009) 1, pp. 28-37

Persistent link: https://www.econbiz.de/10008883217

Choosing instrumental variables in conditional moment restriction models

Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of econometrics 152 (2009) 1, pp. 28-36

Persistent link: https://www.econbiz.de/10008301019

Empirical likelihood estimation and consistent tests with conditional moment restrictions

Donald, Stephen G.; Imbens, Guido W.; Newey, Whitney K. - In: Journal of Econometrics 117 (2003) 1, pp. 55-93

Persistent link: https://www.econbiz.de/10005052932