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An econometric perspective on algorithmic subsampling

Lee, Sokbae; Ng, Serena - 2020

Datasets that are terabytes in size are increasingly common, but computer bottlenecks often frustrate a complete analysis of the data. While more data are better than less, diminishing returns suggest that we may not need terabytes of data to estimate a parameter or test a hypothesis. But which...

Persistent link: https://www.econbiz.de/10012216998

On the iterated estimation of dynamic discrete choice games

Bugni, Federico A.; Bunting, Jackson - 2018

We study the asymptotic properties of a class of estimators of the structural parameters in dynamic discrete choice games. We consider K-stage policy iteration (PI) estimators, where K denotes the number of policy iterations employed in the estimation. This class nests several estimators...

Persistent link: https://www.econbiz.de/10011797607

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

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

Persistent link: https://www.econbiz.de/10011517194

Sensitivity of estimation precision to moments with an application to a model of joint retirement planning of couples

Honoré, Bo E.; Jørgensen, Thomas H.; Paula, Áureo de - 2019

This paper introduces measures for how each moment contributes to the precision of the parameter estimates in GMM …

Persistent link: https://www.econbiz.de/10012025702

GEL-based inference with unconditional moment inequality restrictions

Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017

function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …

Persistent link: https://www.econbiz.de/10011812336

The informativeness of estimation moments

Honoré, Bo E.; Jørgensen, Thomas H.; Paula, Áureo de - 2020

This paper introduces measures for how each moment contributes to the precision of parameter estimates in GMM settings …

Persistent link: https://www.econbiz.de/10012152501

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …

Persistent link: https://www.econbiz.de/10011824067

Arellano-Bond lasso estimator for dynamic linear panel models

Chernozhukov, Victor; Fernández-Val, Iván; Huang, Chen; … - 2024

The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However, the estimator is severely biased when the data's time series dimension T is long due to the large degree of overidentification. We show that weak dependence along the panel's time...

Persistent link: https://www.econbiz.de/10014520814