This paper surveys the state of the art in the econometrics of regression models with many
instruments or many regressors based on alternative–namely, dimension–asymptotics. We …

In this article, we empirically examine a hybrid New‐Keynesian model with heterogeneous
bounded rational agents who may adopt an optimistic or pessimistic attitude—so called …

This article reviews a number of recent contributions to estimation and inference for models
defined by moment condition restrictions. The particular emphasis is on the generalized …

We compare nonnested parametric specifications of the stochastic discount factor (SDF)
using the conditional Hansen–Jagannathan (HJ-) distance. This distance measures the …

This survey study discusses main aspects to optimal estimation methodologies for panel
data regression models. In particular, we present current methodological developments for …

Abstract Models defined by moment conditions are at the center of structural econometric
estimation, but economic theory is mostly agnostic about moment selection. While a large …

This paper is concerned with bootstrap hypothesis testing in linear regression models with
many regressors. I show that bootstrap F, LR and LM tests are asymptotically valid even …

We study the semiparametric estimation of stochastic differential equations employing
methods based on moment conditions, comparing the finite sample and robustness …

Moment conditions model averaging (MA) estimators in the GMM framework are considered.
Under finite sample considerations, MA estimators with optimal weights are proposed, in the …

The Appendix mainly consists of a detailed proof of the first part of Theorem 1 (i), ie,
existence and consistency of the ESP estimator. The proof relies on set-valued analysis. The …