Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments, Second Version
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- Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
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Cited by:
- DiTraglia, Francis J., 2016.
"Using invalid instruments on purpose: Focused moment selection and averaging for GMM,"
Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM," PIER Working Paper Archive 14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- He, Yinghua, 2012.
"Gaming the Boston School Choice Mechanism in Beijing,"
TSE Working Papers
12-345, Toulouse School of Economics (TSE).
- He, Yinghua, 2015. "Gaming the Boston School Choice Mechanism in Beijing," TSE Working Papers 15-551, Toulouse School of Economics (TSE), revised Sep 2017.
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Mehmet Caner & Anders Bredahl Kock, 2016.
"Oracle Inequalities for Convex Loss Functions with Nonlinear Targets,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1377-1411, December.
- Mehmet Caner & Anders Bredahl Kock, 2013. "Oracle Inequalities for Convex Loss Functions with Non-Linear Targets," CREATES Research Papers 2013-51, Department of Economics and Business Economics, Aarhus University.
- Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
- Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
- P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall, 2015.
"On the Interpretation of Instrumental Variables in the Presence of Specification Errors,"
Econometrics, MDPI, vol. 3(1), pages 1-10, January.
- Stephen G. Hall, & P. A. V. B. Swamy & George S. Tavlas, 2014. "On the Interpretation of Instrumental Variables in the Presence of Specification Errors," Discussion Papers in Economics 14/19, Division of Economics, School of Business, University of Leicester.
- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
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More about this item
Keywords
Adaptive Penalty; GMM; Many Moments; Moment Selection; Oracle Properties; Shrinkage Estimation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
Statistics
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