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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
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Testing multiplicative error models using conditional moment tests
Hautsch, Nikolaus - 2008
We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....
Persistent link: https://www.econbiz.de/10003796125
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Optimal Inference in Dynamic Models with Conditional Moment Restrictions
Christensen, Bent Jesper - 2008
By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...
Persistent link: https://www.econbiz.de/10012723172
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Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
Otsu, Taisuke - 2008
We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...
Persistent link: https://www.econbiz.de/10012771848
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Sieve Semiparametric Two-Step GMM Under Weak Dependence
Chen, Xiaohong - 2015
This paper considers semiparametric two-step GMM estimation and inference with weakly dependent data, where unknown … of the second-step GMM estimator may not have a closed form expression, it can be well approximated by sieve variances …'s (1982) over-identification tests for the second step GMM that properly reflect the first-step estimated functions and the …
Persistent link: https://www.econbiz.de/10013019447
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Testing for a Threshold in Models with Endogenous Regressors
Rothfelder, Mario - 2016
and Hansen (2004) which is based on conventional GMM estimation. We derive the asymptotic distributions of the two tests … critical values via a fixed regressor wild bootstrap. Our simulations show that in small samples, the GMM test of Caner and …
Persistent link: https://www.econbiz.de/10012985845
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Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models
Dufour, Jean-Marie - 2018
This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of...
Persistent link: https://www.econbiz.de/10012923738
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High Dimensional Semiparametric Moment Restriction Models
Dong, Chaohua - 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 …
Persistent link: https://www.econbiz.de/10012932681
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Estimation of Conditional Moment Restrictions Without Assuming Parameter Identifiability in the Implied Unconditional Moments
Hsu, Shih-Hsun - 2010
conventional two-step GMM method. Our simulations confirm that the proposed estimator compares favorably with that of Dominguez and …
Persistent link: https://www.econbiz.de/10013147626
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Estimating and Testing for Smooth Structural Changes in Moment Condition Models
Li, Haiqi; Zhou, Jin; Hong, Yongmiao - 2021
Numerous studies have been devoted to estimating and testing of moment condition models. Most of the current literature assumes that structural parameters are either fixed or changed abruptly. This paper considers the estimating and testing for smooth structural changes in moment condition...
Persistent link: https://www.econbiz.de/10013244498