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Information Theoretic Approaches to Inference in Moment Condition Models
Imbens, Guido W.; Spady, Richard H.; Johnson, Phillip - In: Econometrica 66 (1998) 2, pp. 333-358
This paper develops a variant of one-step efficient GMM based on the KLIC rather than empirical likelihood. As in other one-step methods, the authors introduce M (the number of moments) auxiliary 'tilting' parameters which are used to construct a reweighting of the data so that the reweighted...
Persistent link: https://www.econbiz.de/10005332804
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Information Theoretic Approaches to Inference in Moment Condition Models
Imbens, Guido; Johnson, Phillip; Spady, Richard H. - National Bureau of Economic Research (NBER) - 1995
One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample...
Persistent link: https://www.econbiz.de/10005725267
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Information theoretic approaches to inference in moment condition models
Imbens, Guido; Johnson, Phillip; Spady, Richard Henry - 1995
Persistent link: https://www.econbiz.de/10000935000
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Information theoretic approaches to inference in moment condition models
Imbens, Guido; Johnson, Phillip; Spady, Richard Henry - 1995
Persistent link: https://www.econbiz.de/10000921669
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Information theoretic approaches to inference in moment condition models
Imbens, Guido - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 2, pp. 333-357
Persistent link: https://www.econbiz.de/10001237570
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Information Theoretic Approaches to Inference in Moment Condition Models
Imbens, Guido W.; Spady, Richard H.; Johnson, Phillip - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 2, pp. 333-358
Persistent link: https://www.econbiz.de/10006789580
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Information Theoretic Approaches to Inference in Moment Condition Models
Imbens, Guido W. - 1995
One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample...
Persistent link: https://www.econbiz.de/10012473589
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INFORMATION THEORETIC APPROACHES TO INFERENCE IN MOMENT CONDITION MODELS Technical Working Paper No. 186
Imbens, Guido W.; Johnson, Phillip; Spady, Richard H. - 1995
Persistent link: https://www.econbiz.de/10005994218
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Information Theoretic Approaches to Inference in Moment Condition Models
Imbens, Guido W.; Spady, Richard H.; Johnson, Phillip - 2021
One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample...
Persistent link: https://www.econbiz.de/10013252335