arXiv 4 Aug 2014 · Statistics — Methodology · publishedJournal of Econometrics (2016) · 59 citations (OpenAlex)
arXiv:1408.0705 · PDF · DOI · OpenAlex · Extracted main text
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 selection procedure for GMM -- the Focused Moment Selection Criterion (FMSC) -- in which moment conditions are chosen not based on their validity but on the MSE of their associated estimator of a user-specified target parameter. The FMSC mimics the situation faced by an applied researcher who begins with a set of relatively mild "baseline" assumptions and must decide whether to impose any of a collection of stronger but more controversial "suspect" assumptions. When the (correctly specified) baseline moment conditions identify the model, the FMSC provides an asymptotically unbiased estimator of asymptotic MSE, allowing us to select over the suspect moment conditions. I go on to show how the framework used to derive the FMSC can address the problem of inference post-moment selection. Treating post-selection estimators as a special case of moment-averaging, in which estimators based on different moment sets are given data-dependent weights, I propose simulation-based procedures for inference that can be applied to a variety of formal and informal moment-selection and averaging procedures. Both the FMSC and confidence interval procedures perform well in simulations. I conclude with an empirical example examining the effect of instrument selection on the estimated relationship between malaria and income per capita.
appendix boundary found by appendix_command · 57% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andrews, D. W. K., May (1999) Consistent moment selection procedures for generalized methods of moments estimation | 0.916 | 13 | 5 | 77% |
| 2 | Guggenberger, P (2010) The impact of a Hausman pretest on the asymptotic size of a hypothesis test | 0.843 | 3 | 3 | 100% |
| 3 | Hall, A. R (2005) Generalized Method of Moments | 0.843 | 3 | 3 | 100% |
| 4 | Hall, A. R., Peixe, F. P (2003) A consistent method for the selection of relevant instruments in linear models | 0.737 | 4 | 3 | 50% |
| 5 | Andrews, D. W. K., Lu, B (2001) Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models | 0.737 | 3 | 2 | 100% |
| 6 | Claeskens, G., Hjort, N. L (2003) The focused information criterion | 0.737 | 3 | 2 | 100% |
| 7 | Hong, H., Preston, B., Shum, M (2003) Generalized empirical likelihood-based model selection for moment condition models | 0.737 | 3 | 2 | 100% |
| 8 | Leeb, H., Pötscher, B. M (2005) Model selection and inference: Facts and fiction | 0.737 | 3 | 2 | 100% |
| 9 | Phillips, P. C. B (1980) The exact distribution of instrumental variables estimators in an equation containing $n+1$ endogenous variables | 0.737 | 3 | 2 | 100% |
| 10 | Carstensen, K., Gundlach, E (2006) The primacy of institutions reconsidered: Direct income effects of malaria prevelance | 0.693 | 8 | 1 | 100% |
Showing the top 10 of 67 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.