Search Results - subject:"Conditional moment restrictions"

Local GEL methods for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

semiparametric efficient EL method formulated by Kitamura, Tripathi and Ahn (2004) for conditional moment restrictions. A particular … LOCAL GEL METHODS FOR CONDITIONAL MOMENT RESTRICTIONS Richard J. Smith THE INSTITUTE FOR FISCAL STUDIES DEPARTMENT … OF ECONOMICS, UCL cemmap working paper CWP15/05 Local GEL Methods for Conditional Moment Restrictions ∗ Richard J. Smith …

Persistent link: https://www.econbiz.de/10005727678

Testing for non-nested conditional moment restrictions using unconditional empirical likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - In: Journal of Econometrics 167 (2012) 2, pp. 370-382

contains equivalent information of the conditional moment restrictions, we construct Kolmogorov–Smirnov and Cramér–von Mises …

Persistent link: https://www.econbiz.de/10011052221

Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation

Doz, Catherine; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

, identification is obtained with conditional moment restrictions which pave the way for instrumental variables estimation and …

Persistent link: https://www.econbiz.de/10005100682

Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

Hsu, Shih-Hsun; Kuan, Chung-Ming - In: Journal of Econometrics 165 (2011) 1, pp. 87-99

A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be …

Persistent link: https://www.econbiz.de/10011052203

Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

This paper considers models of conditional moment restrictions that involve non-parametric functions of single …

Persistent link: https://www.econbiz.de/10008500458

Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators

Inkmann, Joachim - 1999

This paper compares generalized method of moments (GMM) and simulated maximum likeli- hood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance...

Persistent link: https://www.econbiz.de/10011545114

Local GMM Estimation of Time Series Models with Conditional Moment Restrictions

Gospodinov, Nikolay; Otsu, Taisuke - Department of Economics, Concordia University - 2008

conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown form …

Persistent link: https://www.econbiz.de/10004968092

Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model

Inkmann, Joachim - 1997

The paper compares two approaches to the estimation of panel probit models: the Generalized Method of Moments (GMM) and the Simulated Maximum Likelihood (SML) technique. Both have in common that they circumvent multiple integrations of joint density functions without the need to impose...

Persistent link: https://www.econbiz.de/10010398088

Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model

Inkmann, Joachim - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1997

Persistent link: https://www.econbiz.de/10010958307

Circumventing multiple integration : a comparison of GMM and SML estimators for the panel probit model

Inkmann, Joachim - 1997

Persistent link: https://www.econbiz.de/10009675757