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Smooth Minimum Distance Estimation and Testing in Conditional Moment Restrictions Models: Uniform in Bandwidth Theory

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Abstract

We propose a new estimation method for models defined by conditional moment restrictions,that minimizes a distance criterion based on kernel smoothing. Whether the bandwidth parameter is fixed or decreases to zero with the sample size, our approach defines a whole class of estimators. We develop a theory that focuses on uniformity in bandwidth. We establish a pn-asymptotic representation of our estimator as a process depending on the bandwidth within a wide range including fixed bandwidths and that applies to misspecified models. We also study an efficient version of our estimator. We develop inference procedures based on a distance metric statistic for testing restrictions on parameters and we propose a new bootstrap technique. Our new methods apply to non-smooth problems, are simple to implement, and perform well in small samples.

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File URL: http://www.sfu.ca/econ-research/RePEc/sfu/sfudps/dp08-06.pdf
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Bibliographic Info

Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp08-08.

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Length: 46
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:sfu:sfudps:dp08-08

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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.sfu.ca/economics.html
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
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Web: http://www.sfu.ca/economics/research/publications.html

Related research

Keywords: Conditional Moments; Smoothing Methods;

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Cited by:
  1. Manuel Dominguez & Ignacio Lobato, 2010. "Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM," Working Papers 1005, Centro de Investigacion Economica, ITAM.
  2. Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
  3. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
  4. Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient Estimation Using the Characteristic Function," Working Papers hal-00867850, HAL.

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