This paper considers the problem of selection of weights for averaging across least squares
estimates obtained from a set of models. Existing model average methods are based on …

Models of firm conduct are the cornerstone of both theoretical and empirical work in
industrial organization. A recent contribution (Berry and Haile, 2014) has suggested the use …

Parameters defined via general estimating equations (GEE) can be estimated by maximizing
the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219–255] have …

Standard econometric model selection methods are based on four conceptual errors:
parametric vision, the assumption of a true data generating process, evaluation based on fit …

This paper studies the selection of valid and relevant moments for the generalized method of
moments (GMM) estimation. For applications with many candidate moments, our asymptotic …

This paper proposes a generalized method of moments (GMM) shrinkage method to
efficiently estimate the unknown parameters θo identified by some moment restrictions …

This paper proposes a method of inference for general stochastic volatility models
containing price jumps. The estimation is based on treating realized multipower variation …

In finite samples, the use of a slightly endogenous but highly relevant instrument can reduce
mean-squared error (MSE). Building on this observation, I propose a novel moment …

Hansen and Jagannathan (1997) compare misspecified asset pricing models based on
least-square projections on a family of admissible stochastic discount factors. We extend …

We propose a simple model selection test for choosing among two parametric likelihoods,
which can be applied in the most general setting without any assumptions on the relation …