Estimation with overidentifying inequality moment conditions
This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically uniformly valid tests and confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as a data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The results obtained in this paper extend to conventional GMM estimators.
Year of publication: |
2009
|
---|---|
Authors: | Moon, Hyungsik Roger ; Schorfheide, Frank |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 153.2009, 2, p. 136-154
|
Publisher: |
Elsevier |
Keywords: | Empirical likelihood estimation Generalized method of moments Inequality moment conditions Instrumental variable estimation Monetary policy rules |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Forecasting With Dynamic Panel Data Models
Liu, Laura, (2020)
-
Forecasting with a panel Tobit model
Liu, Laura, (2023)
-
Inference for VARs identified with sign restrictions
Granziera, Eleonora, (2018)
- More ...