Efficient information theoretic inference for conditional moment restrictions

Journal of Econometrics

Volumn 138, Issue 2, 2007, Pages 430-460

  Smith, Richard J ^a,b  

^a INSTITUTE FOR FISCAL STUDIES   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Conditional moment restrictions; GMM; Local Cressie Read minimum discrepancy; Semi parametric efficiency

Indexed keywords

CONDITIONAL MOMENT RESTRICTIONS; CRESSIE READ POWER DIVERGENCE; EMPIRICAL LIKELIHOOD; VARIANCE MATRICES;

JACOBIAN MATRICES; MATHEMATICAL MODELS; METHOD OF MOMENTS; PARAMETER ESTIMATION; PROBABILITY;

INFORMATION THEORY;

EID: 34247528965     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.05.004     Document Type: Article

References (41)

1. Ai C. A semiparametric maximum likelihood estimator. Econometrica 65 (1997) 933-964
2. Altonji J., and Segal L.M. Small sample bias in GMM estimation of covariance structures. Journal of Economic and Business Statistics 14 (1996) 353-366
3. Back K., and Brown D. Implied probabilities in GMM estimators. Econometrica 61 (1993) 971-976
4. Bonnal, H., Renault, E., 2003. On the efficient use of the informational content of estimating equations: implied probabilities and maximum Euclidean likelihood. Working paper, Département de Sciences Économiques, Université de Montréal.
5. Borwein J.M., and Lewis A.S. Duality relations for entropy-like minimisation problems. SIAM Journal of Control and Optimisation 29 (1991) 325-338
6. Brown, B.W., Newey, W.K., 1992. Bootstrapping for GMM. Working paper, Department of Economics, MIT, Cambridge.
7. Brown B.W., and Newey W.K. Generalized method of moments, efficient bootstrapping, and improved inference. Journal of Economic and Business Statistics 20 (2002) 507-517
8. Chamberlain G. Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34 (1987) 305-334
9. Corcoran S.A. Bartlett adjustment of empirical discrepancy statistics. Biometrika 85 (1998) 967-972
10. Cressie N., and Read T. Multinomial goodness-of-fit tests. Journal of the Royal Statistical Society Series B 46 (1984) 440-464
11. de Jong P. A central limit theorem for generalized quadratic forms. Probability Theory and Related Fields 75 (1987) 261-277
12. Donald S.G., Imbens G.W., and Newey W.K. Empirical likelihood estimation and consistent tests with conditional moment restrictions. Journal of Econometrics 117 (2003) 55-93
13. Fan J., and Gijbels I. Local Polynomial Modelling and its Applications (1996), Chapman & Hall, London
14. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
15. Hansen L.P., Heaton J., and Yaron A. Finite-sample properties of some alternative GMM estimators. Journal of Business and Economic Statistics 14 (1996) 262-280
16. Imbens G.W. One-step estimators for over-identified generalized method of moments models. Review of Economic Studies 64 (1997) 359-383
17. Imbens G.W., and Spady R.H. The performance of empirical likelihood and its generalizations. In: Andrews D.W.K., and Stock J.H. (Eds). Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg (2005), Cambridge University Press, New York 216-244
18. Imbens G.W., Spady R.H., and Johnson P. Information theoretic approaches to inference in moment condition models. Econometrica 66 (1998) 333-357
19. Kitamura Y. Asymptotic optimality of empirical likelihood for testing moment restrictions. Econometrica 69 (2001) 1661-1672
20. Kitamura, Y., 2005. Empirical likelihood methods in econometrics: theory and practice. Invited paper presented at the Econometric Society World Congress, U.C.L., London.
21. Kitamura Y., and Stutzer M. An information-theoretic alternative to generalized method of moments estimation. Econometrica 65 (1997) 861-874
22. Kitamura Y., Tripathi G., and Ahn H. Empirical likelihood-based inference in conditional moment restriction models. Econometrica 72 (2004) 1667-1714
23. Mittelhammer R.C., Judge G.G., and Schoenberg R. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods. In: Andrews D.W.K., and Stock J.H. (Eds). Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg (2005), Cambridge University Press, New York 282-305
24. Newey W.K. Efficient instrumental variables estimation of nonlinear models. Econometrica 58 (1990) 809-837
25. Newey W.K. Efficient estimation of models with conditional moment restrictions. In: Maddala G.S., Rao C.R., and Vinod H. (Eds). Handbook of Statistics vol. 11 (1993), North-Holland, Amsterdam
26. Newey W.K., and McFadden D.L. Large sample estimation and hypothesis testing. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. 4 (1994), North-Holland, Amsterdam 2113-2245
27. Newey, W.K., Smith, R.J., 2001. Asymptotic bias and equivalence of GMM and GEL estimators. Working Paper No. 01/517, Department of Economics, University of Bristol.
28. Newey W.K., and Smith R.J. Higher order properties of GMM and generalized empirical likelihood estimators. Econometrica 72 (2004) 219-255
29. Newey W.K., Ramalho J.J.S., and Smith R.J. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters. In: Andrews D.W.K., and Stock J.H. (Eds). Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg (2005), Cambridge University Press, New York 245-281
30. Owen A. Empirical likelihood ratio confidence intervals for a single functional. Biometrika 75 (1988) 237-249
31. Owen A. Empirical likelihood ratio confidence regions. Annals of Statistics 18 (1990) 90-120
32. Owen A. Empirical Likelihood (2001), Chapman & Hall, London
33. Qin J., and Lawless J. Empirical likelihood and general estimating equations. Annals of Statistics 22 (1994) 300-325
34. Ramalho, J.J.S., 2001. Alternative estimation methods and specification tests for moment condition models. Unpublished Ph.D. Thesis, Department of Economics, University of Bristol.
35. Rényi A. On measures of entropy and estimation. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability vol. 1 (1961) 547-561
36. Robinson P.M. Asymptotically efficient estimation in the presence of heteroskedasticity of unknown form. Econometrica 55 (1987) 875-891
37. Shannon C.E., and Weaver W. The Mathematical Theory of Communication (1949), University of Illinois Press, Urbana
38. Smith R.J. Alternative semi-parametric likelihood approaches to generalized method of moments estimation. Economic Journal 107 (1997) 503-519
39. Smith, R.J., 2001. GEL methods for moment condition models. Working paper, Department of Economics, University of Bristol. Revised version CWP 19/04, cemmap, I.F.S. and U.C.L. 〈http://cemmap.ifs.org.uk/wps/cwp0419.pdf〉.
40. Smith, R.J., 2003. Local GEL estimation with conditional moment restrictions. Working paper, Department of Economics, University of Warwick.
41. Tripathi G., and Kitamura Y. Testing conditional moment restrictions. Annals of Statistics 31 (2003) 2059-2095