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GEL methods for nonsmooth moment indicators

Parente, Paulo (contributor); Smith, Richard J. (contributor) - 2008

-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator …

Persistent link: https://www.econbiz.de/10003739699

Tests for neglected heterogeneity in moment condition models

Hahn, Jinyong; Newey, Whitney K.; Smith, Richard J. - 2011 - This draft: May 2011

relevant Jacobian matrix obtained as the second order derivative of the moment indicator in a leading case. GMM and GEL tests … difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the … conditional moment context. -- GMM ; GEL ; Unconditional Moments ; Conditional Moments ; Score and LM Tests ; Information Matrix …

Persistent link: https://www.econbiz.de/10009230262

Child mental health and educational attainment : multiple observers and the measurement error problem

Johnston, David; Propper, Carol; Pudney, Stephen E.; … - 2011 - This version: July 15, 2011

We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental health and educational progress. Our contribution is to use unique UK survey data that contains (potentially biased)...

Persistent link: https://www.econbiz.de/10009266733

Exogeneity in semiparametric moment condition models

Parente, Paulo M. D. C.; Smith, Richard J. - 2012 - This revision: September 2012

statistics are suggested based on GMM and generalized empirical likelihood. The asymptotic properties of the statistics are …

Persistent link: https://www.econbiz.de/10009628998

Locally- but not globally-identified SVAR

Bacchiocchi, Emanuele; Kitagawa, Toru - 2020 - This draft: 20 July 2020

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...

Persistent link: https://www.econbiz.de/10012251913

Likelihood inference and the role of initial conditions for the dynamic panel data model

Barbosa, Jose Diogo; Moreira, Marcelo J. - 2017 - This version: January 16, 2017

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...

Persistent link: https://www.econbiz.de/10011586178

High dimensional semiparametric moment restriction models

Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018

method based on the sieve generalized method of moments (sieve GMM). We establish consistency and asymptotic normality for … model exhibits sparsity. We use a penalized sieve GMM approach to select the relevant variables, and establish the oracle …

Persistent link: https://www.econbiz.de/10011938037

High dimensional semiparametric moment restriction models

Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018

divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method … dealing with the nonparametric parameter. The consistency and normality for the GMM estimators are established. Meanwhile, a … restriction models. In addition, the potential sparsity under our setting is investigated via the combination of GMM methodology …

Persistent link: https://www.econbiz.de/10011775182

A note on global identification in structural vector autoregressions

Bacchiocchi, Emanuele; Kitagawa, Toru - 2021 - This draft: 8 February 2021

In a landmark contribution to the structural vector autoregression (SVARs) literature, RubioRam'ırez, Waggoner, and Zha (2010, 'Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic Studies) shows a necessary and sufficient condition for...

Persistent link: https://www.econbiz.de/10012431646

More on confidence intervals for partially identified parameters

Stoye, Jörg (contributor) - 2008

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...

Persistent link: https://www.econbiz.de/10003739665