Choosing instrumental variables in conditional moment restriction models

Journal of Econometrics

Volumn 152, Issue 1, 2009, Pages 28-36

  Donald, Stephen G ^a   Imbens, Guido W ^b   Newey, Whitney K ^c  

^a UNIVERSITY OF TEXAS   (United States)

^b HARVARD UNIVERSITY   (United States)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Conditional moment restrictions; Generalized empirical likelihood; Generalized method of moments; Mean squared error

Indexed keywords

ASYMPTOTIC EFFICIENCY; ASYMPTOTIC MEAN SQUARE ERROR; CHOICE OF INSTRUMENTS; CONDITIONAL MOMENT RESTRICTIONS; CONDITIONAL MOMENTS; CONTINUOUS UPDATING; EMPIRICAL LIKELIHOOD; GENERALIZED EMPIRICAL LIKELIHOOD; GENERALIZED METHOD OF MOMENTS; GMM ESTIMATORS; HETEROSKEDASTICITY; HIGHER ORDER; INSTRUMENTAL VARIABLES; MEAN SQUARED ERROR; NONLINEAR SIMULTANEOUS EQUATIONS; SELECTION CRITERIA; SMALL SAMPLES;

ASYMPTOTIC ANALYSIS; GELATION; GELS; MAGNETOSTRICTIVE DEVICES; MEAN SQUARE ERROR; NONLINEAR EQUATIONS; THREE TERM CONTROL SYSTEMS;

METHOD OF MOMENTS;

EID: 68649114296     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.10.013     Document Type: Article

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