Generalized Method of Moments

By A. Hall. 2005

851 citations recorded by the source corpus.

Subfields: Statistical and Nonlinear Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e1275388bc3156af584630a699554ec6ab763149

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Citations in the corpus

Statistical Methods for Stochastic Differential Equations (2012, methodology): “31) which we shall see is an approximation to the optimal weigth matrix. 2 In the econometrics literature, a popular way of using functions like hj(x, y, ; θ), j = 1, . . . , N , to estimate the parameter θ is the generalized method of moments (GMM) of Hansen (1982). In practice, the method is often”
Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, neutral): “Hwang et al. (2013) find evidence of contagion for China, Russia and India (but omit Brazil from their study).”
Testing Dependence Among Serially Correlated Multicategory Variables (2009, methodology): “In testing = 0 in (5), serial dependence in the errors, ut, can be dealt with either parametrically or by using Bartlett weights as proposed by Newey and West (1987) in constructing a test statistic ~ t = ̂ r V̂NW ̂ ; (8)”
Bank regulatory capital and liquidity: Evidence from US and European publicly traded banks (2013, methodology): “It is robust to the distribution of errors and it is considered more efficient than two-stage least squares (2SLS) regression because it accounts for the heteroskedasticity of errors (Hall, 2005).”
Inference for Iterated GMM Under Misspecification (2021, neutral): “We set ψi = Q Wm(Xi, θ0) +Q(Xi, θ0) Wμ−QWv(Xi, θ0)v(Xi, θ0)Wμ (21) so that √ nF̃n = 1 √ n n ∑”
Testing Forecast Optimality Under Unknown Loss (2007, neutral): “σ2t =0 . 1+0 .8σ 2 t−1 +0 .1σ 2 t−1e 2 t−1 ( 19 )”
Under Review as a Conference Paper at Iclr 2017 Learning in Implicit Generative Models (2017, methodology): “This piques our interest in more general approaches for non-maximum likelihood and likelihood-free estimation methods, of which there is much work (Lyu, 2011; Gutmann and Hyvärinen, 2012; Hall, 2005; Marin et al., 2012; Frogner et al., 2015).”
Bartik Instruments: What, When, Why, and How (2020, neutral): “Test #2: Overidentification tests Columns (7) and (8) of Table 4 show the point estimates from the Hausman et al. (2012) HFUL estimator and the Chao et al.”
Learning Implicit Generative Models with the Method of Learned Moments (2018, methodology): “The consistency and asymptotic normality conditions for the Equation 1 (reproduced below) are taken from (Hall, 2005).”
Closed-Form Expressions of 3-D Via Resistance, Inductance, and Capacitance (2009, methodology): “The tool solves Maxwell’s equations by utilizing the finite-element method [21] and the method of moments [22], [23] to compute the RLC Fig.”
Simulated Method of Moments Estimation for Copula-Based Multivariate Models (2013, neutral): “By Proposition 3, ĜT;S G0 = op (1) ; which implies RT;S ̂T;S = op (1) : Thus, we obtain the expansion of gT;S ̂T;S around 0 : p TgT;S ̂T;S = p TgT;S ( 0) + ĜT;S p T ̂T;S 0 + op (1) (20)”
GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019, neutral): “To be able to apply the asymptotic results related to the GMM estimator derived in the literature, we make a number of standard assumptions, including strict stationarity and er-godicity (see, e.g., Hall 2005, chaps 3 and 5.3), in addition to identiﬁcation.”
An Instrumental Variable Approach for Identification and Estimation with Nonignorable Nonresponse (2014, methodology): “Here we consider nonparametric p(y|x) and the GMM (Hansen (1982); Hall (2005)) for estimation.”
Kernel-Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency (2018, methodology): “As in Hahn (1996), doing so is suffi cient when the goal is to establish first-order asymptotic validity, but we conjecture that bootstrap consistency results can be obtained for various modifications of the simple nonparametric bootstrap, including those proposed by Brown and Newey (2002) and Hall ”
A confounding bridge approach for double negative control inference on causal effects (2018, positive): “A standard approach to estimate θ = (γ , (cid:4)) is the generalized method of moments (Hall, 2005; Hansen,1982).”
Dynamic Quantile Models of Rational Behavior (2019, neutral): “We refer the reader to Attanasio and Low (2004) and Hall (2005), and the references therein, for a brief overview. The methods in this paper derive a Euler equation that has a conditional quantile function representation and estimate it using existing econometric methods. Finally, this paper is rela”
Modeling Dependence in High Dimensions With Factor Copulas (2015, neutral): “Yit = 0 + 1Yi;t 1 + it it, t = 1; 2; :::; T (2)it = ! + 2 i;t 1 + 2 i;t 1 2 i;t 1 (23) t [ 1t; :::; Nt] s iid F = C ( ; ; :::; )”