A local generalized method of moments estimator

By Arthur Lewbel. 2007

55 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Finance, Statistics and Probability

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Julie Tibshirani
2. Susan Athey
3. Stefan Wager
4. Liangjun Su
5. Aman Ullah

In Finance

1. Aman Ullah
2. Julie Tibshirani
3. Susan Athey
4. Stefan Wager
5. Liangjun Su
6. Irina Murtazashvili
7. Zhenlin Yang
8. Halbert White

In Statistics and Probability

1. Susan Athey
2. Stefan Wager
3. Julie Tibshirani
4. Liangjun Su
5. Aman Ullah
6. Mihaela van der Schaar
7. Guido W. Imbens
8. Irina Murtazashvili

Citations in the corpus

• Generalized random forests (2016, methodology): “The idea of local maximum likelihood (and local generalized method of moments) estimation has a long history, including Fan, Farmen and Gijbels (1998), Newey (1994a), Staniswalis (1989), Stone (1977), Tibshirani and Hastie (1987) and Lewbel (2007).”
• Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling (2013, background): “Remark 2 (Local linear versus local constant GMM estimators) An alternative to the local linear GMM estimator is the local constant GMM estimator, see, for example, Lewbel (2007) and Tran and Tsionas (2010).”