Consistent Estimation of Models Defined by Conditional Moment Restrictions

By M. Domínguez, Ignacio N. Lobato. 2004

177 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0f8b8d09fabc0abeb91bf557e3c23e21cfabf3d1

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Citations in the corpus

Empirical Likelihood Methods in Econometrics: Theory and Practice (2006, methodology): “Even in the examples presented by Dominguez and Lobato (2004) where the optimal IV a * fails to deliver identification, the conditional empirical likelihood estimator is consistent as far as the original model (6.1) identifies θ.”
Estimation of Average Treatment Effects With Misclassification (2007, methodology): “Donald, Imbens, and Newey (2003) , or Dominguez and Lobato (2004) .”
The Identification Power of Equilibrium in Simple Games (2008, background): “To allow for the case where Wp has continuous support, we reexpress (k) as the set of minimizers of an objective function (see Dominguez and Lobato 2004).”
Inference on endogenously censored regression models using conditional moment inequalities (2009, methodology): “The choice of weight functions in moment equality models is motivated by efficiency gains (Dominguez and Lobato (2004) is an exception4) and not consistency.”
Choosing instrumental variables in conditional moment restriction models (2009, methodology): “Estimators will be consistent under this condition because K is allowed to grow with n, as in Donald et al. (2003). Consistency could also be achieved by using the approach of Dominguez and Lobato (2004) or Lavergne and Patilea (2008).”
A local generalized method of moments estimator (2007, methodology): “…) = 0 given a known vector valued function g. Asymptotically efficient estimates of θ given conditional moments E[g(θ,W ) | Z = z)] = 0 can be obtained using variants of GMM or empirical likelihood such as Newey (1993), Donald, Imbens, and Newey (2003), Otsu (2003), or Dominguez and Lobato (2004).”
A regularization approach to the many instruments problem (2012, background): “It may even lead to a loss of identi…cation as pointed out by Dominguez and Lobato (2004) .”