Narrow search
Showing 1 - 10 of 45,649
Cover Image
Efficient Minimum Distance Estimation with Multiple Rates of Convergence
Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012
This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …
Persistent link: https://www.econbiz.de/10010538864
Cover Image
Efficient minimum distance estimation with multiple rates of convergence
Antoine, Bertille; Renault, Eric - In: Journal of Econometrics 170 (2012) 2, pp. 350-367
This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to …
Persistent link: https://www.econbiz.de/10010594970
Cover Image
Testing Identification Strength
Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2012
consistency and asymptotic normality of GMM estimators. We then develop two tests to assess the identification strength of the …
Persistent link: https://www.econbiz.de/10010818168
Cover Image
On the relevance of weaker instruments
Antoine, Bertille; Renault, Eric - Department of Economics, Simon Fraser University - 2014
specifically, we study the asymptotic properties of the standard GMM estimator and the Hansen J-test when additional moment … restrictions that are weaker than the original ones are available. We show that the consistency of the GMM estimator is not … the efficiency of GMM estimator. Finally, we study the behavior of the Hansen J-test to assess the compatibility between …
Persistent link: https://www.econbiz.de/10010818177
Cover Image
Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133053
Cover Image
Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133161
Cover Image
Applications of Subsampling, Hybrid, and Size-Correction Methods
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007
This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non-regular models. The latter two procedures are introduced in Andrews and Guggenberger (2005b). The models are non-regular in the sense that the test statistics of interest exhibit a...
Persistent link: https://www.econbiz.de/10005093953
Cover Image
Identification, Weak Instruments and Statistical Inference in Econometrics
Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952
Cover Image
Efficient Derivative Pricing By The Extended Method of Moments
GAGLIARDINI, Patrick; GOURIEROUX, Christian; RENAULT, Eric - 2004
set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM … differs from the GMM in that it can handle not only uniform conditional moment restrictions (i.e. valid for any value of the …
Persistent link: https://www.econbiz.de/10008922932
Cover Image
Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
Su, Liangjun; Yang, Zhenlin - East Asian Bureau of Economic Research (EABER) - 2007
the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against … heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is also robust against outliers and requires weaker moment conditions … conventional QML estimator without taking into account of heteroscedasticity in the errors; it also outperforms the GMM estimators …
Persistent link: https://www.econbiz.de/10009365175