Search Results - subject:"conditional moment restrictions"

Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information

Wang, Yafeng; Graham, Brett - Volkswirtschaftliche Fakultät, … - 2010

We propose simulation based estimation for discrete sequential move games of perfect information which relies on the simulated moments and importance sampling. We use importance sampling techniques not only to reduce computational burden and simulation error, but also to overcome non-smoothness...

Persistent link: https://www.econbiz.de/10008602769

Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors

Song, Suyong - In: Journal of Econometrics 185 (2015) 1, pp. 95-109

This paper develops a framework for the analysis of semiparametric conditional moment models with endogenous and mismeasured causes, which is of empirical importance. We show that one set of valid instruments is sufficient to control for both endogeneity and measurement errors of the causes of...

Persistent link: https://www.econbiz.de/10011190706

Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors

Song, Suyong - In: Journal of econometrics 185 (2015) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10011339898

Choosing the number of moments in conditional moment restriction models

Imbens, Guido; Donald, Stephen G.; Newey, Whitney K. - 2008

Properties of GMM estimators are sensitive to the choice of instruments. Usingmany instruments leads to high asymptotic asymptotic efficiency but can causehigh bias and/or variance in small samples. In this paper we develop and implementasymptotic mean square error (MSE) based criteria for...

Persistent link: https://www.econbiz.de/10009479998

Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008

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

Persistent link: https://www.econbiz.de/10005464018

Optimal inference in dynamic models with conditional moment restrictions

Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is …By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional …

Persistent link: https://www.econbiz.de/10005114126

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

Persistent link: https://www.econbiz.de/10010318448

Local gel methods for conditional moment restrictions

Smith, Richard J. - 2005

semiparametric efficient EL method formulated by Kitamura, Tripathi and Ahn (2004) for conditional moment restrictions. A particular …

Persistent link: https://www.econbiz.de/10010318464

Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood

Otsu, Taisuke; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2005

testing unconditional moment restrictions, our approach directly tests conditional moment restrictions which imply the …

Persistent link: https://www.econbiz.de/10005087379

Efficient information theoretic inference for conditional moment restrictions

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

-parametric efficient estimators and tests for conditional moment restrictions models based on a local or kernel-weighted version of the … of explicit estimation of the conditional Jacobian and variance matrices of the conditional moment restrictions and … EFFICIENT INFORMATION THEORETIC INFERENCE FOR CONDITIONAL MOMENT RESTRICTIONS Richard J. Smith THE INSTITUTE FOR …

Persistent link: https://www.econbiz.de/10005811463