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Generalised method of moments with latent variables

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...

Persistent link: https://www.econbiz.de/10010188137

Exact computation of GMM estimators for instrumental variable quantile regression models

Chen, Le-yu; Lee, Sokbae - 2017

We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed integer quadratic programming problem. This enables exact computation of the GMM estimators for the IVQR models. We...

Persistent link: https://www.econbiz.de/10011775368

Generalized empirical likelihood estimamtors and tests under partial, weaks and strong identification

Guggenberger, Patrik (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835864

Higher order properties of GMM and generalized empirical likelihood estimators

Newey, Whitney K. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777551

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Newey, Whitney K. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777565

Discrete choice nonresponse

Ramalho, Esmerelda A. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001778947

Expend, a Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data

Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001748235

Finite sample inference for GMM estimators in linear panel data models

Bond, Stephen (contributor); Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001748246

Dynamic panel data models : a guide to micro data methods and practice

Bond, Stephen (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001748250

GEL criteria for moment condition models

Smith, Richard J. (contributor) - 2004

Persistent link: https://www.econbiz.de/10002528224

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