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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

We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

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

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

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

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

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

We propose non-nested tests for competing conditional moment resctriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...

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

Optimal inference in dynamic models with conditional moment restrictions

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

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

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

Efficient information theoretic inference for conditional moment restrictions

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

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

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

Local GEL methods for conditional moment restrictions

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

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

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

Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

Persistent link: https://www.econbiz.de/10008543477

Evaluation and Combination of Conditional Quantile Forecasts

Giacomini, Raffaella; Komunjer, Ivana - Department of Economics, Boston College - 2003

nested and non-nested models. The test is also relatively easy to implement using standard GMM techniques. An empirical …

Persistent link: https://www.econbiz.de/10004968797

Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - Institute of Economics, Academia Sinica - 2014

necessarily optimal, GMM estimator. It is also shown that the asymptotic local power of these tests is invariant with respect to … the choice of the weighting matrix for preliminary GMM estimator. Our simulations demonstrate that the proposed tests are …

Persistent link: https://www.econbiz.de/10010739165

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

consistent, but not necessarily optimal, GMM estimator. Our simulations demonstrate that these tests are properly sized and may …

Persistent link: https://www.econbiz.de/10010785290