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In the classic measurement error framework, covariates are contaminated by independent additive noise. This paper considers parameter estimation in such a linear errors-in-variables model where the unknown measurement error distribution is…

For many inference problems in statistics and econometrics, the unknown parameter is identified by a set of moment conditions. A generic method of solving moment conditions is the Generalized Method of Moments (GMM). However, classical GMM…

We develop a generalized method of moments (GMM) approach for fast parameter estimation in a new class of Dirichlet latent variable models with mixed data types. Parameter estimation via GMM has been demonstrated to have computational and…

Generalized empirical likelihood and generalized method of moments are well spread methods of resolution of inverse problems in econometrics. Each method defines a specific semiparametric model for which it is possible to calculate…

In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the…

We introduce a new estimator, CRE-GMM, which exploits the correlated random effects (CRE) approach within the generalised method of moments (GMM), specifically applied to level equations, GMM-lev. It has the advantage of estimating the…

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard…

A generalized method of moments (GMM) estimator is unreliable for a large number of moment conditions, that is, it is comparable, or larger than the sample size. While classical GMM literature proposes several provisions to this problem,…

Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference…

Since Pearson [Philosophical Transactions of the Royal Society of London. A, 185 (1894), pp. 71-110] first applied the method of moments (MM) for modeling data as a mixture of one-dimensional Gaussians, moment-based estimation methods have…

Important problems in causal inference, economics, and, more generally, robust machine learning can be expressed as conditional moment restrictions, but estimation becomes challenging as it requires solving a continuum of unconditional…

In this article, we consider an imputation method to handle missing response values based on semiparametric quantile regression estimation. In the proposed method, the missing response values are generated using the estimated conditional…

Moment restrictions and their conditional counterparts emerge in many areas of machine learning and statistics ranging from causal inference to reinforcement learning. Estimators for these tasks, generally called methods of moments, include…

This paper develops efficient GMM estimation when the moment conditions are misspecified. We observe that the influence function of the standard GMM estimator under misspecification depends on both the original moment conditions and their…

This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data studied by Morikawa and Kim (2016). Their semiparametrically efficient estimator requires explicit nonparametric estimation and so…

Weak identification arises in many statistical problems when key variables exhibit weak correlations-for example, when instrumental variables correlate weakly with treatment, or when proxy variables correlate weakly with unmeasured…

The asymptotic behavior of GMM estimators depends critically on whether the underlying moment condition model is correctly specified. Hong and Li (2023, Econometric Theory) showed that GMM estimators with nonsmooth (non-directionally…

This paper proposes a simple unified inference approach on moment restrictions in the presence of nuisance parameters. The proposed test is constructed based on a new characterization that avoids the estimation of nuisance parameters and…

The conditional moment problem is a powerful formulation for describing structural causal parameters in terms of observables, a prominent example being instrumental variable regression. A standard approach reduces the problem to a finite…

We propose a semi-partitioned Generalized Method of Moments (GMM) framework for analyzing longitudinal data with time-dependent covariates, within a marginal modeling paradigm. This approach addresses limitations of both aggregated and…