کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096475 | 1376530 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new method of projection-based inference in GMM with weakly identified nuisance parameters
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
Projection-based tests for subsets of parameters are useful because they do not over-reject the true parameter values when either it is difficult to estimate the nuisance parameters or their identification status is questionable. However, they are also often criticized for being overly conservative. We overcome this conservativeness by introducing a new projection-based test that is more powerful than the traditional projection-based tests. The new test is even asymptotically equivalent to the related plug-in-based tests when all the parameters are identified. Extension to models with weakly identified parameters shows that the new test is not dominated by the related plug-in-based tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 164, Issue 2, 1 October 2011, Pages 239-251
Journal: Journal of Econometrics - Volume 164, Issue 2, 1 October 2011, Pages 239-251
نویسندگان
Saraswata Chaudhuri, Eric Zivot,