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Constructing Optimal Instruments by First-Stage Prediction Averaging

Kuersteiner, Guido; Okui, Ryo - In: Econometrica 78 (2010) 2, pp. 697-718

This paper considers model averaging as a way to construct optimal instruments for the two-stage least squares (2SLS), limited information maximum likelihood (LIML), and Fuller estimators in the presence of many instruments. We propose averaging across least squares predictions of the endogenous...

Persistent link: https://www.econbiz.de/10008470808

Panel AR(1) estimators under misspecification

Okui, Ryo - In: Economics letters 101 (2008) 3, pp. 210-213

Persistent link: https://www.econbiz.de/10008143060

The optimal choice of moments in dynamic panel data models

Okui, Ryo - In: Journal of econometrics 151 (2009) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10008257301

A PUZZLING PHENOMENON IN SEMIPARAMETRIC ESTIMATION PROBLEMS WITH INFINITE-DIMENSIONAL NUISANCE PARAMETERS

Hitomi, Kohtaro; Nishiyama, Yoshihiko; Okui, Ryo - In: Econometric theory 24 (2008) 6, pp. 1717

Persistent link: https://www.econbiz.de/10008110445

Hahn–Hausman test as a specification test

Lee, Yoonseok; Okui, Ryo - In: Journal of econometrics 167 (2012) 1, pp. 133-140

Persistent link: https://www.econbiz.de/10009825298

Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

Okui, Ryo - In: Economics letters 112 (2011) 1, pp. 49-53

Persistent link: https://www.econbiz.de/10009133537

Olympic athlete selection

Hizen, Yoichi; Okui, Ryo - In: The B.E. journal of economic analysis & policy 9 (2009) 1, pp. 1-47

Persistent link: https://www.econbiz.de/10010007867

Instrumental variable estimation in the presence of many moment conditions

Okui, Ryo - In: Journal of econometrics 165 (2011) 1, pp. 70-87

Persistent link: https://www.econbiz.de/10009333120

Panel AR(1) estimators under misspecification

Okui, Ryo - In: Economics letters 101 (2008) 3, pp. 210-214

Persistent link: https://www.econbiz.de/10008897548

Solving the Feldstein-Horioka Puzzle With Financial Frictions

Kuersteiner, Guido; Okui, Ryo - In: Econometrica : journal of the Econometric Society, an … 78 (2010) 2, pp. 603-633

Persistent link: https://www.econbiz.de/10008401673

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