کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097373 | 1376585 | 2007 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Efficient information theoretic inference for conditional moment restrictions
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The generalised 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 restrictions models based on a local or kernel-weighted version of the Cressie-Read power divergence family of discrepancies. This approach is similar in spirit to the empirical likelihood methods of Kitamura et al. [2004. Empirical likelihood-based inference in conditional moment restrictions models. Econometrica 72, 1667-1714] and Tripathi and Kitamura [2003. Testing conditional moment restrictions. Annals of Statistics 31, 2059-2095]. These efficient local methods avoid the necessity of explicit estimation of the conditional Jacobian and variance matrices of the conditional moment restrictions and provide empirical conditional probabilities for the observations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 138, Issue 2, June 2007, Pages 430-460
Journal: Journal of Econometrics - Volume 138, Issue 2, June 2007, Pages 430-460
نویسندگان
Richard J. Smith,