Search Results - subject:"continuous updating"

Newey, Whitney K.; Windmeijer, Frank - 2005

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small. In this paper we use alternative asymptotics, based on many weak moment...

Persistent link: https://www.econbiz.de/10010318519

GMM with many weak moment conditions

Newey, Whitney; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005

asymptotically more eﬃcient under many weak moments. JEL Classification: C12, C13, C23 Keywords: GMM, Continuous Updating, Many … conditions for consistency and a limiting distribution when a general weight matrix is used for the continuous updating estimator …) limiting distribution of the continuous updating estimator (CUE). This derivation corresponds to sequential asymptotics, where …

Persistent link: https://www.econbiz.de/10005727673

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables

Ramalho, Joaquim - Departamento de Economia, Universidade de Évora - 2003

estimator, namely the continuous-updating, exponential tilting, and empirical likelihood estimators. Analytical and bootstrap …

Persistent link: https://www.econbiz.de/10005398690

A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter

Newey, Whitney K.; Ramalho, Joaquim J.S.; Smith, Richard J. - Departamento de Economia, Universidade de Évora - 2003

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...

Persistent link: https://www.econbiz.de/10005398695

Feasible bias-corrected OLS, within-groups, and first-differences estimators for typical micro and macro AR(1) panel data models

Ramalho, Joaquim - Departamento de Economia, Universidade de Évora - 2003

series is highly persistent. Application of the asymptotically equivalent continuous updating method eliminates this problem …

Persistent link: https://www.econbiz.de/10005577426

Dynamic Spatial Discrete Choice Using One-step GMM: An Application to Mine Operating Decisions

Pinkse, Joris; Slade, Margaret; Shen, Lihong - In: Spatial Economic Analysis 1 (2006) 1, pp. 53-99

above-mentioned problems. In particular, we show that the one-step (‘continuous updating’) GMM estimator is consistent and …

Persistent link: https://www.econbiz.de/10005495697