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Effcient M-estimators with auxiliary information

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F Bravo
Abstract

This paper introduces a new class of M-estimators based on generalised empirical likelihood estimation with some auxiliary information available in the sample. The resulting class of estimators is efficient in the sense that it achieves the same asymptotic lower bound as that of the efficient generalised method of moment-based M-estimator with the same auxiliary information. The results of the paper are quite general and apply to M-estimators defined by both smooth and nonsmooth estimating equations. Simulations show that the proposed estimators perform well in finite samples, and can be less biased and more precise than standard M-estimators within China.

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File URL: http://www.york.ac.uk/depts/econ/documents/dp/0826.pdf
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Paper provided by Department of Economics, University of York in its series Discussion Papers with number 08/26.

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Date of creation: Aug 2008
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Handle: RePEc:yor:yorken:08/26

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Keywords: Asymptotic efficiency. Generalised empirical likelihood. Generalised method of moments. M-estimators. Generalised method of moments; M-estimators.;

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  5. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March. [Downloadable!] (restricted)
  6. Imbens, Guido W & Lancaster, Tony, 1994. "Combining Micro and Macro Data in Microeconometric Models," Review of Economic Studies, Blackwell Publishing, vol. 61(4), pages 655-80, October. [Downloadable!] (restricted)
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  7. Andrews, Donald W.K., 1986. "Empirical process methods in econometrics," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 37, pages 2247-2294 Elsevier. [Downloadable!] (restricted)
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  8. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-19, March. [Downloadable!] (restricted)
  9. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, 01. [Downloadable!] (restricted)
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  10. 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.
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  11. P. Hall & B. Presnell, 1999. "Intentionally biased bootstrap methods," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 143-158. [Downloadable!] (restricted)
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