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Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation Author info | Abstract | Publisher info | Download info | Related research | Statistics Joachim Inkmann (University of Konstanz)
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This paper compares conventional GMM estimators to empirical likelihood based GMM estimators which employ a semiparametric efficient estimate of the unknown distribution function of the data. One-step, two-step and bootstrap empirical likelihood and conventional GMM estimators are considered which are efficient for a given set of moment conditions. The estimators are subject to a Monte Carlo investigation using a specification which exploits sequential conditional moment restrictions for binary panel data with multiplicative latent effects. Among other findings the experiments show that the one-step and two-step estimators yield coverage rates of confidence intervals below their nominal coverage probabilities. The bootstrap methods improve upon this result.
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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number
0332.
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Date of creation: 01 Aug 2000Date of revision:
Handle: RePEc:ecm:wc2000:0332Contact details of provider: Phone: 1 212 998 3820 Fax: 1 212 995 4487 Email: Web page: http://www.econometricsociety.org/pastmeetings.asp More information through EDIRC
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references Cited by : (explanations , 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.)
Joachim Inkmann, 2001.
"Accounting for Nonresponse Heterogeneity in Panel Data ,"
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01-03, Center of Finance and Econometrics, University of Konstanz.
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