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Higher order properties of GMM and generalised empirical likelihood estimators

Newey, Whitney; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

asymptotic bias due to correlation of the moment functions with their Jacobian, eliminating an important source of bias for GMM … in models with endogeneity. We also find that EL has no asymptotic bias from estimating the optimal weight matrix …, eliminating a further important source of bias for GMM in panel data models. We give bias corrected GMM and GEL estimators. We …

Persistent link: https://www.econbiz.de/10005509541

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

Newey, Whitney K.; Ramalho, Joaquim J. S.; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2003

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in … offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and … other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estimators are compared. Analytical bias …

Persistent link: https://www.econbiz.de/10005509558

On rate optimality for ill-posed inverse problems in econometrics

Chen, Xiaohong; Reiss, Markus - Centre for Microdata Methods and Practice (CEMMAP) - 2007

<p>In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error...</p>

Persistent link: https://www.econbiz.de/10005811446

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

, GEL estimation yields objects which mirror in an asymptotic sense those which form the basis of the exact theory in AS … asymptotic bias properties of EL and possess a well-defined limit distribution under misspecification. …

Persistent link: https://www.econbiz.de/10005811452

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

Automatic positive semi-definite HAC covariance matrix and GMM estimation

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2004

This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is...

Persistent link: https://www.econbiz.de/10005811471

GEL Criteria for Moment Condition Models

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2004

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM...

Persistent link: https://www.econbiz.de/10005727654

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

Exogeneity in semiparametric moment condition models

Parente, Paulo; Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2012

The primary concern of this article is the provision of definitions and tests for exogeneity appropriate for models defined through sets of conditional moment restrictions. These forms of exogeneity are expressed as additional conditional moment constraints and may be equivalently formulated as...

Persistent link: https://www.econbiz.de/10010593715

More on confidence intervals for partially identified parameters

Stoye, Jörg - Centre for Microdata Methods and Practice (CEMMAP) - 2008

<p>This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's...</p>

Persistent link: https://www.econbiz.de/10005509552