GMM with Many Moment Conditions

By Peter C. B. Phillips, Chirok Han. 2004

188 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1385b4abf08ace77a1d37f9f5ac6bb9eacb125e1

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In Economics and Econometrics

Citations in the corpus

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models (2010, unknown): “The concept of the concentration parameter and its relationship to relative bias and size distortion of the Wald test does not readily extend itself to general GMM estimation, see e.g. Stock and Wright (2000) and Han and Phillips (2006).”
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS (2011, background): “terminology of Han and Phillips (2006) , the many instrument ”noise” term in the expected objective”
Pre-Event Trends in the Panel Event-Study Design (2019, background): “Extending our framework to the case whereK > R provides many additional moment restrictions in principle, though one suspects the usual complications from using many moment conditions (Han and Phillips 2006; Newey and Windmeijer 2009) would arise in this setting.”
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY (2009, unknown): “Some special cases of such situations are studied in Staiger and Stock (1997) and Stock and Wright (2000), among others, and Han and Phillips (2006), the latter in a general context that includes some panel cases.”
GMM with many weak moment conditions (2005, methodology): “Generalized empirical likelihood (GEL, Smith 1997) and other estimators have smaller bias but the usual standard errors are found to be too small in examples in Han and Phillips (2005) and here.”
GMM estimation of social interaction models with centrality (2010, background): “The next 28With a high level of regularity conditions, Han and Phillips (2006) proposed an alternative framework for analysis.”
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION (2013, unknown): “These restricted domain and convergence issues associated with the FDMLE procedure are discussed more fully in separate work (Han and Phillips, 2009b). 7. Asymptotics for the FDMLE procedure are developed in Kruiniger (2008) only for the panel AR(1) model and computation is much more dif cult in the”
Testing with many weak instruments (2007, methodology): “This paper presents new results for testing in the linear IV regression model under “many weak instrument (IV) asymptotics.” Such asymptotics are designed for the case in which the IVs are weak and the number of IVs, k, is relatively large compared to the sample size n. Asymptotics of this type have”
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (2014, unknown): “In this context, the approach delivers a general purpose long 1 However, recent results of Chao and Swanson (2005) and Han and Phillips (2006) show that it is possible to compensate for the effects of weak (and even irrelevant instruments in some cases) through the use of large numbers of…”