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Small Sample Properties of Generalized Method of Moments Based Wald Tests

Burnside, Craig; Eichenbaum, Martin S. - 2021

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10013224900

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G.; Segal, Lewis M. - 2022

sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD …

Persistent link: https://www.econbiz.de/10013312527

Using Weights to Adjust for Sample Selection When Auxiliary Information is Available

Nevo, Aviv - 2001

In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...

Persistent link: https://www.econbiz.de/10014122994

Asymptotics for GMM Estimators with Weak Instruments

Stock, James H.; Wright, Jonathan H. - 2022

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

Persistent link: https://www.econbiz.de/10014158848

Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross-sectional units. It is assumed that the disturbances are spatially correlated, based on some geographic or economic proximity measure. If the time dimension of the data is large, feasible...

Persistent link: https://www.econbiz.de/10013232767

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Persistent link: https://www.econbiz.de/10012769647

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Gentzkow, Matthew Aaron - 2015

We propose a local measure of the relationship between parameter estimates and the moments of the data they depend on. Our measure can be computed at negligible cost even for complex structural models. We argue that reporting this measure can increase the transparency of structural estimates,...

Persistent link: https://www.econbiz.de/10013031825

Indirect Inference with Importance Sampling : An Application to Women's Wage Growth

Sauer, Robert M. - 2017

class of indirect inference models. Our smoothing procedure makes use of importance sampling weights in estimation of the … auxiliary model on simulated data. The importance sampling weights are constructed from likelihood contributions implied by the …

Persistent link: https://www.econbiz.de/10012949932

Non-Randomly Sampled Networks : Biases and Corrections

Hsieh, Chih-sheng - 2018

first characterize the biases in both network statistics and estimates of network effects under non-random sampling …-classical measurement-error problems when applied as regressors. Apart from the sampling rate and the elicitation procedure, these biases … applied to network data collected via both designed and non-designed sampling procedures, does not require one to assume any …

Persistent link: https://www.econbiz.de/10012907751

Conditioning on the Probability of Selection to Control Selection Bias

Angrist, Joshua D. - 2021

Problems of sample selection arise in the analysis of both experimental and non-experimental data. In clinical trials to evaluate the impact of an intervention on health and mortality, treatment assignment is typically nonrandom in a sample of survivors even if the original assignment is random....

Persistent link: https://www.econbiz.de/10013221121