Arbeitspapier
GEL methods for nonsmooth moment indicators
This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in finite samples. These include EL, ET and the CUE. This paper also establishes the validity of tests suggested in the smooth moment indicators case for over-identifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix which may be problematic for the sample sizes typically encountered in practice.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP19/08
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
Non-Smooth Moment Indicators
Overidentifying Moments
Parametric Restrictions
Additional Moment Restrictions
Schätztheorie
Momentenmethode
Bias
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Parente, Paulo
Smith, Richard J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2008
- DOI
-
doi:10.1920/wp.cem.2008.1908
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Parente, Paulo
- Smith, Richard J.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2008
Ähnliche Objekte (12)
Local gel methods for conditional moment restrictions
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Proximal Splitting Methods in Nonsmooth Convex Optimization
Mixed-integer nonlinear robust optimization via nonsmooth methods
Numerical splitting methods for nonsmooth convex optimization problems
Variational methods in nonsmooth analysis and quasilinear equations
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Nonsmooth analysis
Numerical methods for optimal control of nonsmooth dynamical systems
Nonsmooth analysis and geometric methods in deterministic optimal control
Numerical methods and second order theory for nonsmooth problems
Local gel methods for conditional moment restrictions
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Proximal Splitting Methods in Nonsmooth Convex Optimization
Mixed-integer nonlinear robust optimization via nonsmooth methods
Numerical splitting methods for nonsmooth convex optimization problems
Variational methods in nonsmooth analysis and quasilinear equations
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Nonsmooth analysis
Numerical methods for optimal control of nonsmooth dynamical systems
Nonsmooth analysis and geometric methods in deterministic optimal control
Numerical methods and second order theory for nonsmooth problems
Local gel methods for conditional moment restrictions
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Proximal Splitting Methods in Nonsmooth Convex Optimization
Mixed-integer nonlinear robust optimization via nonsmooth methods
Numerical splitting methods for nonsmooth convex optimization problems
Variational methods in nonsmooth analysis and quasilinear equations
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Nonsmooth analysis
Numerical methods for optimal control of nonsmooth dynamical systems
Nonsmooth analysis and geometric methods in deterministic optimal control