Journal ArticleDOI
Sargan's Intrumental Variables Estimation and the Generalized Method of Moments
TLDR
Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM) is surveyed in this paper, where the authors present the modeling context in which Sargan motivated IV estimation and their results for nonlinear-in-parameters IV models are described.Abstract:
This article surveys J. D. Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is discussed. His approach to efficiency, his minimax estimator, tests of overidentification and underidentification, and his later work on the finite-sample properties of IV estimators are reviewed. Next, his approach to modeling IV equations with serial correlation is discussed and compared with the GMM approach. Finally, Sargan's results for nonlinear-in-parameters IV models are described.read more
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Treatment effect heterogeneity in theory and practice
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Treatment Effect Heterogeneity in Theory and Practice
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Greenhouse gases emissions, growth and the energy mix in Europe
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Intra- and extra-bank determinants of Latin American Banks' profitability
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Nobel Lecture: Uncertainty Outside and Inside Economic Models
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References
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Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Journal ArticleDOI
The estimation of economic relationships using instrumental variables
TL;DR: In this article, the asymptotic error variance matrix for the coefficients of one of the relationships is obtained in the case in which these relationships are estimated using instrumental variables, and the problem of choice that arises when there are more instrumental variables available than the minimum number required to enable the method to be used is discussed.
Journal ArticleDOI
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
TL;DR: In this article, the authors examined the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the future spot rate, and they were able to reject the simple market efficiency hypothesis for exchange rates from the 1970s and the 1920s.
Journal ArticleDOI
The Method of Path Coefficients
TL;DR: The Method of Path Coefficients (MPC) as discussed by the authors is a flexible means of relating the correlation coefficients between variables in a multiple system to the functional relations among them, which has been applied in quite a variety of cases.
Journal ArticleDOI
Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
T. W. Anderson,Herman Rubin +1 more
TL;DR: In this article, a method is given for estimating the coefficients of a single equation in a complete system of linear stochastic equations (see expression (2.1)), provided that a number of coefficients of the selected equation are known to be zero.
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