Estimation with overidentifying inequality moment conditions
By H. R. Moon, Frank Schorfheide. 2009
61 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/b689e1475a6343d022b0cd4a96fe3f648055e7fd
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In Economics and Econometrics
- Andrew J. Patton
- Allan G. Timmermann
- T. Armstrong
- Eric Zivot
- Michael J. Kolesar
- Saraswata Chaudhuri
- Ivan A. Canay
- Kevin Sheppard
Citations in the corpus
- Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “Examples include Loh (1985), Stock (1991), Berger and Boos (1994), Silvapulle (1996), Staiger and Stock (1997), Hansen (2005b), Moon and Schorfheide (2009), Chaudhuri and Zivot (2011) and Romano et al. (2012).5 Romano et al. (2012), which applies a specific form of the S-Bonf CV to hypothesis…”
- Forecast Rationality Tests Based on Multi-Horizon Bounds (2012, methodology): “The estimation of loss function parameters via moment (equality) conditions may be combined with the multi-horizon inequality conditions presented earlier using recent work by Moon and Schorfheide (2009).”
- EL inference for partially identified models: Large deviations optimality and bootstrap validity (2010, background): “It was introduced by Owen(1988, 1990, 1991) and later studied in depth by Qin and Lawless (1994), Imbens, Spady, and Johnson (1998), Kitamura (2001) and Newey and Smith (2004), among others.”
- Sensitivity analysis using approximate moment condition models (2018, background): “Rambachan and Roth (2019) build on the framework in this paper to develop CIs in this setting.”
- A new method of projection-based inference in GMM with weakly identified nuisance parameters (2011, methodology): “This is done by the use of Neyman (1959)’s C(α) principle and a form of restricted projection that is motivated by Dufour (1990) and Robins (2004).”