Small-Sample Bias in GMM Estimation of Covariance Structures
AbstractThe authors examine the small sample properties of the generalized method of moments estimator applied to models of covariance structures, where it is commonly known as the optimal minimum distance (OMD) estimator. They find that OMD is almost always biased downward in absolute value. The bias arises because sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD is usually dominated by equally weighted minimum distance (EWMD). The authors also propose an alternative estimator that is unbiased and asymptotically equivalent to OMD. However, the Monte Carlo evidence indicates that it is usually dominated by EWMD.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 14 (1996)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small sample bias in GMM estimation of covariance structures," Working Paper Series, Macroeconomic Issues 94-8, Federal Reserve Bank of Chicago.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small Sample Bias in GMM Estimation of Covariance Structures," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Koenker, Roger & Machado, José A.F. & Skeels, Christopher L. & Welsh, Alan H., 1994. "Momentary Lapses: Moment Expansions and the Robustness of Minimum Distance Estimation," Econometric Theory, Cambridge University Press, vol. 10(01), pages 172-197, March.
- Abowd, John M & Card, David, 1987.
"Intertemporal Labor Supply and Long-term Employment Contracts,"
American Economic Review,
American Economic Association, vol. 77(1), pages 50-68, March.
- John M. Abowd & David Card, 1986. "Intertemporal Labor Supply and Long Term Employment Contracts," NBER Working Papers 1831, National Bureau of Economic Research, Inc.
- Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120.
- Joshua D. Angrist & Alan B. Krueger, 1995.
"Split Sample Instrumental Variables,"
NBER Technical Working Papers
0150, National Bureau of Economic Research, Inc.
- Arellano, Manuel & Sargan, J D, 1990. "Imhof Approximations to Econometric Estimators," Review of Economic Studies, Wiley Blackwell, vol. 57(4), pages 627-46, October.
- Joseph G. Altonji & Ana Paula Martins & Aloysius Siow, 1987.
"Dynamic Factor Models of Consumption, Hours, and Income,"
NBER Working Papers
2155, National Bureau of Economic Research, Inc.
- Altonji, Joseph G. & Martins, Ana Paula & Siow, Aloysius, 2002. "Dynamic factor models of consumption, hours and income," Research in Economics, Elsevier, vol. 56(1), pages 3-59, June.
- Bruce N. Lehmann, 1990. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc.
- Lehmann, Bruce N., 1990. "Residual risk revisited," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 71-97.
- Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
- repec:cup:etheor:v:10:y:1994:i:1:p:172-97 is not listed on IDEAS
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.