A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter

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A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter

Author Info

Whitney K. Newey (Department of Economics, M.I.T.)
Joaquim J.S. Ramalho () (Department of Economics, University of Évora)
Richard J. Smith (Department of Economics, University of Warwick)

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Abstract

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected.

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Paper provided by University of Évora, Department of Economics (Portugal) in its series Economics Working Papers with number 5_2003.

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Length: 41 pages
Date of creation: 2003
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Handle: RePEc:evo:wpecon:5_2003

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Paper
- Whitney K. Newey & Joaquim J. S. Ramalho & Richard Smith, 2003. "Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters," CeMMAP working papers CWP05/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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.:

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Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
Other versions:
- 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.
- 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. [Downloadable!]
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," Harvard Institute of Economic Research Working Papers 1736, Harvard - Institute of Economic Research.
Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February. [Downloadable!] (restricted)
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Imbens, Guido W, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," Review of Economic Studies, Blackwell Publishing, vol. 64(3), pages 359-83, July. [Downloadable!] (restricted)

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