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The weighted method of moments approach for moment condition models

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  • Xiao, Zhiguo

Abstract

This paper proposes weighted method of moments for estimating over-identified moment condition models. Weighted method of moments is asymptotically equivalent to, but may have better finite sample properties than generalized method of moments and empirical likelihood.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 2 (May)
Pages: 183-186

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:183-186

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Moment condition models Weighted method of moments Small sample properties;

References

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  1. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 5-27, July.
  2. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1569, Cowles Foundation for Research in Economics, Yale University.
  3. Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
  4. Guido W Imbens, Phillip Johnson & Richard H Spady, . "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
  5. Whitney Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  6. Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(3), pages 353-66, July.
  7. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
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Cited by:
  1. Zhiguo Xiao, 2011. "Efficient Estimation of Moment Condition Models with Heterogenous Populations," Annals of Economics and Finance, Society for AEF, vol. 12(1), pages 89-107, May.

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