کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097239 | 1376577 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Choosing instrumental variables in conditional moment restriction models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Properties of GMM estimators are sensitive to the choice of instrument. Using many instruments leads to high asymptotic asymptotic efficiency but can cause high bias and/or variance in small samples. In this paper we develop and implement asymptotic mean square error (MSE) based criteria for instrument selection in estimation of conditional moment restriction models. The models we consider include various nonlinear simultaneous equations models with unknown heteroskedasticity. We develop moment selection criteria for the familiar two-step optimal GMM estimator (GMM), a bias corrected version, and generalized empirical likelihood estimators (GEL), that include the continuous updating estimator (CUE) as a special case. We also find that the CUE has lower higher-order variance than the bias-corrected GMM estimator, and that the higher-order efficiency of other GEL estimators depends on conditional kurtosis of the moments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 152, Issue 1, September 2009, Pages 28-36
Journal: Journal of Econometrics - Volume 152, Issue 1, September 2009, Pages 28-36
نویسندگان
Stephen G. Donald, Guido W. Imbens, Whitney K. Newey,