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Efficient Estimation of Moment Condition Models with Heterogenous Populations

  • Zhiguo Xiao

    (School of Management, Fudan University)

A wide range of econometric and statistical models are specified through moment conditions. Efficient estimation of such models essentially employs two distinct ideas: optimally combining estimation equations (e.g., the optimal estimating equations of Godambe (1976), the generalized method of moments of Hansen (1982) and the empirical likelihood of Qin and Lawless (1994)), and optimally combining estimators (e.g., the weighted method of moments of Xiao (2010)). This paper extends these methods to moment condition models with heterogeneous populations. Comparison of the finite sample performance of the proposed estimators is conducted through Monte Carlo simulations.

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Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 12 (2011)
Issue (Month): 1 (May)
Pages: 89-107

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Handle: RePEc:cuf:journl:y:2011:v:12:i:1:p:89-107
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  1. Whitney Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 353-66, July.
  3. Imbens, Guido W, 2002. "Generalized Method of Moments and Empirical Likelihood," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 493-506, October.
  4. Xiao, Zhiguo, 2010. "The weighted method of moments approach for moment condition models," Economics Letters, Elsevier, vol. 107(2), pages 183-186, May.
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  6. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
  7. K. Jöreskog, 1971. "Simultaneous factor analysis in several populations," Psychometrika, Springer, vol. 36(4), pages 409-426, December.
  8. Bengt Muthén, 1989. "Latent variable modeling in heterogeneous populations," Psychometrika, Springer, vol. 54(4), pages 557-585, September.
  9. Girma, Sourafel, 2000. "A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections," Journal of Econometrics, Elsevier, vol. 98(2), pages 365-383, October.
  10. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
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