Efficient Estimation of Moment Condition Models with Heterogenous Populations
AbstractA wide range of econometric and statistical models are specified through moment conditions. Efficient estimation of such models essentially employs two distinct ideas: optimally combining estimation equations (e.g., the optimal estimating equations of Godambe (1976), the generalized method of moments of Hansen (1982) and the empirical likelihood of Qin and Lawless (1994)), and optimally combining estimators (e.g., the weighted method of moments of Xiao (2010)). This paper extends these methods to moment condition models with heterogeneous populations. Comparison of the finite sample performance of the proposed estimators is conducted through Monte Carlo simulations.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 12 (2011)
Issue (Month): 1 (May)
Moment condition models; Heterogenous populations; Optimal estimating equations; Generalized method of moments; Weighted method of moments; Empirical likelihood;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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CeMMAP working papers
CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Xiao, Zhiguo, 2010. "The weighted method of moments approach for moment condition models," Economics Letters, Elsevier, vol. 107(2), pages 183-186, May.
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