کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096009 | 1376497 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Conditional moment models under semi-strong identification
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Conditional moment models under semi-strong identification Conditional moment models under semi-strong identification](/preview/png/5096009.png)
چکیده انگلیسی
We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong identification, and does not rely on the choice of a user-chosen parameter, such as the number of instruments or some smoothing parameter. Heteroskedasticity-robust inference is possible through Wald testing without prior knowledge of the identification pattern. Simulations show that our estimator is competitive with alternative estimators based on many instruments, being well-centered with better coverage rates for confidence intervals.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 182, Issue 1, September 2014, Pages 59-69
Journal: Journal of Econometrics - Volume 182, Issue 1, September 2014, Pages 59-69
نویسندگان
Bertille Antoine, Pascal Lavergne,