Download or read book Asymptotics for GMM Estimators with Weak Instruments written by James H. Stock and published by . This book was released on 1996 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory to obtain a limiting representation of the (concentrated) objective function as a stochastic process. The general results are specialized to two leading cases, linear instrumental variables regression and GMM estimation of Euler equations obtained from the consumption-based capital asset pricing model with power utility. Numerical results of the latter model confirm that finite sample distributions can deviate substantially from normality, and indicate that these deviations are captured by the weak instrument asymptotic approximations.

Download or read book Asymptotic for GMM Estimators with Weak Instruments written by James H. Stock and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotics for Gmm Estimates with Weak Instruments written by James H. Stock and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Detecting Lack of Identification in GMM written by Jonathan H. Wright and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only slightly correlated with the endogenous variables, the conventional Gaussian asymptotic theory may still provide a very poor approximation to the finite sample distribution of the usual instrumental variables estimator. Because of the crucial role of this identification condition, it is common to test for instrument relevance by a first-stage F-test. Identification issues also arise in the generalized method of moments model, of which the linear instrumental variables model is a special case. But I know of no means, in the existing literature, of testing for identification in this model. This paper proposes a test of the null of underidentification in the generalized method of moments model.

Download or read book Asymptotics for GMM Estomators with Weak Instruments written by James H. Stock and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book GMM with Many Moment Conditions written by Chirok Han and published by . This book was released on 2005 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Methods for Estimation and Inference in Modern Econometrics written by Stanislav Anatolyev and published by CRC Press. This book was released on 2011-06-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.

Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Download or read book Improved Generalized Method of Moments Estimators written by Hailong Qian and published by . This book was released on 1995 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-06-17 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.

Download or read book Asymptotic Properties of Econometric Estimators written by Jeffrey M. Wooldridge and published by . This book was released on 1986 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Asymptotics of Simulation Estimators written by Ariel Pakes and published by . This book was released on 1986 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generalized Method of Moments written by Alastair R. Hall and published by OUP Oxford. This book was released on 2004-12-23 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recent important developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empirical examples in macroeconomics and finance. Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test and tests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrument asymptotics.

Download or read book On Robust GMM Estimation with Applications in Economics and Finance written by Ansgar Steland and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized Methods of Moments (GMM) estimators are a popular tool in econometrics since introduced by Hansen (1982), because this approach provides feasible solutions for many problems present in economic data where least squares or maximum likelihood methods fail when naively applied. These problems may arise in errors-in-variable regression, estimation of labor demand curves, and asset pricing in finance, which are discussed here. In this paper we study a GMM estimator for the rank modeling approach (RMA), which analyzes the ordinal structure of a response variable. Assuming m-dependent data consistency and asymptotic normality of the proposed estimator are shown including the important case that the instruments depend on lagged regressors. Consistent estimators for the asymptotic covariance matrices are proposed. Further, the construction of minimum variance RMA-GMM estimators is discussed. Finite sample properties are studied by a small simulation study.

Download or read book Finite Sample Properties of Some Alternative Gmm Estimators written by Lars Peter Hansen and published by Franklin Classics Trade Press. This book was released on 2018-11-10 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Bias and Equivalence of GMM and GEL Estimators written by Whitney K. Newey and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: