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Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions Author info | Abstract | Publisher info | Download info | Related research | Statistics Hyungsik Roger Moon () (Department of Economics, University of Southern California)
Frank Schorfheide () (Department of Economics, University of Pennsylvania and CEPR)
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This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically valid con¯dence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as data generating process and il- lustrate our methods with instrumental variable estimators of monetary policy rules. The assumption that output does not fall in response to an expansionary monetary policy shock leads to an inequality moment condition that can substantially increase the precision with which the policy rule is estimated. The results obtained in this paper extend to conventional GMM estimators.
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Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number
06.56.
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Length: 51 pages
Date of creation: Oct 2006Date of revision:
Handle: RePEc:scp:wpaper:06-56Contact details of provider: Phone: (213) 740-3521 Fax: (213) 740-3522 Web page: http://www.usc.edu/dept/LAS/economics/IEPR/ More information through EDIRC
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Keywords: Empirical Likelihood Estimation ; Generalized Method of Moments ; Inequality Moment Conditions ; Instrumental Variable Estimation ; Monetary Policy Rules ; Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
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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.)
Adam Rosen, 2006.
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CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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