Advanced Search
MyIDEAS: Login to save this article or follow this journal

Efficient minimum distance estimation with multiple rates of convergence

Contents:

Author Info

  • Antoine, Bertille
  • Renault, Eric

Abstract

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In addition, we define a convenient rotation in the parameter space (or reparametrization) to disentangle the different rates of convergence. More precisely, we identify special linear combinations of the structural parameters associated with a specific rate of convergence. Finally, we demonstrate the validity of usual inference procedures, like the overidentification test and Wald test, with standard formulas. It is important to stress that both estimation and testing work without requiring the knowledge of the various rates. However, the assessment of these rates is crucial for (asymptotic) power considerations.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S0304407612001224
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 170 (2012)
Issue (Month): 2 ()
Pages: 350-367

as in new window
Handle: RePEc:eee:econom:v:170:y:2012:i:2:p:350-367

Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: GMM; Mixed-rates asymptotics; Kernel estimation; Rotation in the coordinate system;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  2. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
  3. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07.
  4. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-83, September.
  5. P. Gagliardini & C. Gourieroux & E. Renault, 2011. "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, vol. 79(4), pages 1181-1232, 07.
  6. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  8. Sargan, J D, 1983. "Identification and Lack of Identification," Econometrica, Econometric Society, vol. 51(6), pages 1605-33, November.
  9. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  10. Yacine Aït-Sahalia & Jean Jacod, 2008. "Fisher's Information for Discretely Sampled Lévy Processes," Econometrica, Econometric Society, vol. 76(4), pages 727-761, 07.
  11. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  12. Yuichi Kitamura & Peter C.B. Phillips, 1994. "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments," Cowles Foundation Discussion Papers 1082, Cowles Foundation for Research in Economics, Yale University.
  13. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
  14. Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
  15. Lee, Lung-fei, 2010. "Pooling Estimates With Different Rates Of Convergence: A Minimum Χ2 Approach With Emphasis On A Social Interactions Model," Econometric Theory, Cambridge University Press, vol. 26(01), pages 260-299, February.
  16. Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
  17. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
  18. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
  19. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  20. Bertille Antoine & Eric Renault, 2009. "Efficient GMM with nearly-weak instruments," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S135-S171, 01.
  21. Yulia Kotlyarova & Victoria Zinde-Walsh, 2006. "Non And Semi-Parametric Estimation In Models With Unknown Smoothness," Departmental Working Papers 2006-15, McGill University, Department of Economics.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  2. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
  3. Inoue, Atsushi & Kilian, Lutz, 2014. "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers 9892, C.E.P.R. Discussion Papers.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:170:y:2012:i:2:p:350-367. See general 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: (Zhang, Lei).

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.