One-Step Estimators for Over-Identified Generalized Method of Moments Models

Review of Economic Studies

Volumn 64, Issue 3, 1997, Pages 359-383

  Imbens, Guido W ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000842938     PISSN: 00346527     EISSN: None     Source Type: Journal    
DOI: 10.2307/2971718     Document Type: Article

References (45)

1. ABOWD, J. and CARD, D. (1989), "On the Covariance Structure of Earnings and Hours Changes", Econometrica, 57, 441-445.
2. ALTONJI, J. and SEGAL, L. (1996), "Small Sample Bias in GMM Estimation of Covariance Structures", Journal of Business and Economic Statistics, 14, 353-366.
3. ANDREWS, D. (1991), "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59, 817-858.
4. ANDREWS, D. and MONAHAN, J. (1992), "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 60, 953-966.
5. BACK, K. and BROWN, D. (1990), ''Estimating Distributions from Moment Restrictions" (Working Paper, Graduate School of Business, Indiana University).
6. BACK, K. and BROWN, D. (1993), "Implied Probabilities in GMM Estimators", Econometrica, 61, 971-976.
7. BURGUETE, J., GALLANT, R. and SOUZA, G. (1982), "On Unification of the Asymptotic Theory of Nonlinear Econometric Models", Econometric Reviews, 1, 151-190.
8. CARD, D. (1994), "Intertemporal Labour Supply: an Assessment", in Sims, C. A. (eds.), Advances in Econometrics, (Cambridge: Cambridge University Press).
9. CHAMBERLAIN, G. (1987), "Asymptotic Efficiency in Estimation with Conditional Moment Restrictions", Journal of Econometrics, 34, 305-334.
10. CHAMBERLAIN, G. and IMBENS, G. (1995), "Semiparametric Applications of Bayesian Inference", (Harvard Institute of Economic Research Working Paper).
11. COSSLETT, S. R. (1981a), "Maximum Likelihood Estimation for Choice-based Samples", Econometrica, 49, 1289-1316.
12. COSSLETT, S. R. (1981b), "Efficient Estimation of Discrete Choice Models", in Manski, C. F. and McFadden, D. (eds.), Structural Analysis of Discrete Data with Econometric Applications, (Cambridge: MIT Press).
13. COX, D. R., BARNDORFF-NIELSEN, O. (1989) Asymptotic Techniques for Use in Statistics (London : Chapman and Hall).
14. COX, D. R. and HINKLEY, D. (1974), Theoretical Statistics, (London: Chapman and Hall).
15. DANIELS, H. (1954), "Saddlepoint Approximations in Statistics", Annals of Mathematical Statistics, 25, 631-650.
16. DANIELS, H. (1983), "Saddlepoint Approximations for Estimating Equations", Biometrika, 70, 83-96.
17. DAVIDSON, R. and MACKINNON, J. (1993), Estimation and Inference in Econometrics (Oxford: Oxford University Press).
18. DEMING, W. E., and STEPHAN, F. F. (1942), "On a Least Squares Adjustment of a Sampled Frequency When the Expected Marginal Tables are Known", Annals of Mathematical Statistics, 11, 427-444.
19. DICICCIO, T., HALL, P. and ROMANO, J. (1991), "Empirical Likelihood is Bartlett-correctable", Annals of Statistics, 19, 1053-1061.
20. DICICCIO, T. and ROMANO, J. (1989), "Adjustments to the Signed Root of the Empirical Likelihood Ratio Statistic", Biometrika, 76, 447-456.
21. DICICCIO, T. and ROMANO, J. (1990), "Nonparametric Confidence Limits by Resampling Methods and Least Favorable Families", International Statist. Review, 58, 59-76.
22. EFRON, B. (1981), "Nonparametric Standard Errors and Confidence Intervals" (with discussion), Canadian Journal of Statistics, 9, 139-172.
23. GALLANT, R. (1987) Nonlinear Statistical Models, (Wiley: New York).
24. HABERMAN, S. J. (1983), "Adjustment by Minimum Discriminant Information", Annals of Statistics, 12, 971-988.
25. HAMILTON, J. D. (1994), Time Series Analysis (Princeton: Princeton University Press).
26. HANSEN, L.-P. (1982), "Large Sample Properties of Generalized Method of Moment Estimators", Econometrica, 50, 1029-1054.
27. HANSEN, L.-P., HEATON, J. and YARON, A. (1996), "Finite Sample Properties of Some Alternative GMM Estimators", Journal of Business and Economic Statistics, 14, 262-280.
28. IMBENS, G. W. (1992), "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-based Sampling", Econometrica, 60. page Nos.?
29. IMBENS, G. W. and LANCASTER, T. (1994), "Combining Micro and Macro Data in Microeconometric Models", Review of Economic Studies, 61, 655-680.
30. IMBENS, G. W., and HELLERSTEIN, J. (1993), "Imposing Moment Restrictions from Auxiliary Data by Weighting", Review of Economics and Statistics, (forthcoming).
31. IMBENS, G. W., JOHNSON, P. and SPADY, R. H. (1995), "Information Theoretic Approaches to Inference in Moment Condition Models", (Harvard Institute of Economic Research Working Paper).
32. IRELAND, C. T. and KULLBACK, S. (1968), "Contingency Tables with Known Marginals", Biometrika, 55, 179-188.
33. MANSKI, C. F. (1983), "Closest Empirical Distribution Function", Econometrica, 51, 305-319.
34. MANSKI, C. F. (1988), Analog Estimation Methods in Econometrics, (New York: Chapman and Hall).
35. NEWEY, W. (1985a), "Maximum Likelihood Specification Testing and Conditional Moment Tests", Econometrica, 53, 1047-1069.
36. NEWEY, W. (1985b), "Generalized Method of Moments Specification Testing", Journal of Econometrics, 29, 229-256.
37. NEWEY, W. and MACFADDEN, D. (1994), "Estimation in Large Samples", in MacFadden, D. and Engle, R. (eds.), The Handbook of Econometrics, Vol. 4 (Amsterdam: North-Holland).
38. NEWEY, W. and WEST, K. (1987), "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, 703-708.
39. NEWEY, W. and WEST, K. (1994), "Automatic Lag Selection in Covariance Matrix Estimation", Review of Economic Studies, 61, 631-653.
40. QIN, J. and LAWLESS, J. (1994), "Generalized Estimating Equations", Annals of Statistics, 22, 300-325.
41. REID, N. (1988), "Saddlepoint Methods and Statistical Inference", Statistical Science, 3, 213-248.
42. SARGAN, J. D. (1958), "The Estimation of Economic Relationships Using Instrumental Variables", Econometrica, 26, 393-415.
43. SPADY, R. (1991a), "Marginalization of Saddlepoint Approximations via Explicit Exponential Family Representation" (Mimeo, BellCore, Morristown, New Jersey).
44. SPADY, R. (1991b), "Saddlepoint Approximations for Regression Models", Biometrika, 78, 879-889.
45. WHITE, H. (1982), "Maximum Likelihood Estimation of Misspecified Models", Econometrica, 50, 1-25.