Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

By Donald W. K. Andrews, Biao Lu. 2001

892 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Environmental Engineering

View Paper: https://www.semanticscholar.org/paper/6d23884ebc88443e5450a09bb0a176bd0ea31cb0

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Citations in the corpus

GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS (2003, positive): “…empirical likelihood~GEL! statistics+ The use of GELstatistics in lieu ofJ-statistics~in the spirit of Andrews, 1999, Econometrica67, 543–564; and Andrews and Lu, 2001, Journal of Econometrics101, 123–164! leads to an alternative interpretation of the MSCs that emphasizes the common…”
Least Squares Model Averaging (2007, neutral): “We consider five estimators: (1) AIC model selection (AIC); (2) Mallows’ model selection (Mallows) (3) smoothed AIC (S-AIC); (4) smoothed BIC (S-BIC) and (5) Mallows’ Model Averaging (MMA).”
Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments (2013, background): “There is a long history on the study of moment validity, starting from Sargan (1958), Hansen (1982), Eichenbaum et al.”
Determinants of financial performance in Chinese banking (2010, methodology): “To address this problem, Arellano and Bond (1991) develop the difference GMM model by differencing all regressors and employing GMM (Hansen, 1982).”
Are Poor Cities Cheap for Everyone? Non-Homotheticity and the Cost of Living Across U.S. Cities (2013, methodology): “…cities and stores will reflect differences in the availability and prices of high- relative to low-quality products across these markets.37 36This method was developed in Andrews (1999) as a moment selection criterion and is shown to be consistent for model selection in Andrews and Lu (2001).”
Do Economic, Financial and Institutional Developments Matter for Environmental Degradation? Evidence from Transitional Economies (2008, methodology): “To determine the optimal lag length of the instruments, we use the procedure suggested by Andrews and Lu (2001). We start by using the full set of moment conditions and reduce them step by step.”
Econometric Analysis of Panel Data (2020, background): “Andrews and Lu (2001) develop consistent model and moment selection criteria and downward testing procedures for GMM estimation that are able to select the correct model and moments with probability that goes to one as the sample size goes to infinity.”
LASSO-TYPE GMM ESTIMATOR (2009, methodology): “Breiman (1996) also shows that the ridge regression–based model selection is smooth and gives good results. This is not affected by the number of parameters in the system. Recently, a ridge regression–based method in the least squares (LS) framework has been analyzed theoretically for the first time”
Selecting Instrumental Variables in a Data Rich Environment (2009, background): “Andrews and Lu (2001) propose to use information type criteria to select the number of moment conditions in a GMM setting, which amounts to selecting instruments that satisfy the specified orthogonality conditions.”