Similar Search Results

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

Persistent link: https://www.econbiz.de/10010234017

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10009692018

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10010340367

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Persistent link: https://www.econbiz.de/10015149596

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

Persistent link: https://www.econbiz.de/10011517194

GEL-based inference with unconditional moment inequality restrictions

Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017

function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …

Persistent link: https://www.econbiz.de/10011812336