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Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood
Otsu, Taisuke; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2005
We propose non-nested tests for competing conditional moment resctriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...
Persistent link: https://www.econbiz.de/10005087379
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Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008
We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...
Persistent link: https://www.econbiz.de/10005464018
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Optimal inference in dynamic models with conditional moment restrictions
Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008
By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...
Persistent link: https://www.econbiz.de/10005114126
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Local GEL methods for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...
Persistent link: https://www.econbiz.de/10005727678
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Efficient information theoretic inference for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...
Persistent link: https://www.econbiz.de/10005811463
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010368186
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010336485
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Z-Estimators and Auxiliary Information under Weak Dependence
Crudu, F. - Centro Ricerche Nord Sud (CRENoS) - 2010
In this paper we introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small...
Persistent link: https://www.econbiz.de/10008727714
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Evaluation and Combination of Conditional Quantile Forecasts
Giacomini, Raffaella; Komunjer, Ivana - Department of Economics, Boston College - 2003
nested and non-nested models. The test is also relatively easy to implement using standard GMM techniques. An empirical …
Persistent link: https://www.econbiz.de/10004968797
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Testing Normality: A GMM Approach
Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
scalar diffusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt …?espérance de chaque polynôme de Hermite est nulle. L?approche GMM est utile pour deux raisons. Elle nous permet de tenir compte du …
Persistent link: https://www.econbiz.de/10005100582