Similar Search Results

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

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

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

User-Friendly Parallel Computations with Econometric Examples

Creel, Michael - Society for Computational Economics - SCE - 2005

, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or …

Persistent link: https://www.econbiz.de/10005343007

First-differencing in panel data models with incidental functions

Jochmans, Koen - Department of Economics, Sciences économiques - 2010

estimation techniques can then be readily applied. Distribution theory for a kernel-weighted GMM estimator under large-n and …

Persistent link: https://www.econbiz.de/10010756882

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

An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes

Sugihara, Yoshihiko; Oda, Nobuyuki - Institute for Monetary and Economic Studies, Bank of Japan - 2010

This paper investigates market expectations of future equity prices using the probability distribution and the moments implied in equity option prices. We first conduct, without assuming a particular model, a nonparametric analysis of the development of market expectations in four major markets...

Persistent link: https://www.econbiz.de/10008471281

User-Friendly Parallel Computations with Econometric Examples

Creel, Michael - Departament d'Economia i Història Econòmica, … - 2005

, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or …

Persistent link: https://www.econbiz.de/10005168438

Simulated asymptotic least squares theory

Dridi, Ramdan - London School of Economics (LSE) - 2000

in the SALS framework. In the particular case of the II and the EMM methods and when the instrumental model is of a GMM …

Persistent link: https://www.econbiz.de/10010744799