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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

Automatic positive semi-definite HAC covariance matrix and GMM estimation

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

therefore automatically positive semi-definite. A corresponding efficient GMM criterion may also be defined as a quadratic form …

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

GMM for panel count data models

Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2006

enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are …

Persistent link: https://www.econbiz.de/10005509534

GEL Criteria for Moment Condition Models

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

asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the …

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

GMM with many weak moment conditions

Newey, Whitney; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is … Kleibergen (2005) K statistic is valid under these asymptotics. We also compare these results with a jackknife GMM estimator …

Persistent link: https://www.econbiz.de/10005727673

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