Conditional moment restrictions and the role of density information in estimated structural models

While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the corresponding GMM estimators is fragile in small samples. To deal with both issues, we propose the use of an auxiliary conditional model for the observables f(X

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Year of publication:	2017
Authors:	Tryphonides, Andreas
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Incomplete models \| Information projections \| Small Samples \| Shrinkage

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Series:	SFB 649 Discussion Paper ; 2017-016
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	894895966 [GVK] hdl:10419/169206 [Handle] RePEc:zbw:sfb649:sfb649dp2017-016 [RePEc]
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; E10 - General Aggregative Models. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011725383