IDEAS home Printed from https://ideas.repec.org/a/cuf/journl/y2011v12i1p89-107.html
   My bibliography  Save this article

Efficient Estimation of Moment Condition Models with Heterogenous Populations

Author

Listed:
  • Zhiguo Xiao

    (School of Management, Fudan University)

Abstract

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.

Suggested Citation

  • Zhiguo Xiao, 2011. "Efficient Estimation of Moment Condition Models with Heterogenous Populations," Annals of Economics and Finance, Society for AEF, vol. 12(1), pages 89-107, May.
    • Handle: RePEc:cuf:journl:y:2011:v:12:i:1:p:89-107
    as

    Download full text from publisher

    File URL: http://www.aeconf.net/Articles/May2011/aef120106.pdf
    Download Restriction: no
    File URL: http://down.aefweb.net/AefArticles/aef120106.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. 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, January.
    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. 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 353-366, July.
    6. 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.
    7. Bengt Muthén, 1989. "Latent variable modeling in heterogeneous populations," Psychometrika, Springer;The Psychometric Society, vol. 54(4), pages 557-585, September.
    8. 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.
    9. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
    10. K. Jöreskog, 1971. "Simultaneous factor analysis in several populations," Psychometrika, Springer;The Psychometric Society, vol. 36(4), pages 409-426, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ting Luo & Zhiguo Xiao, 2015. "Selective Disclosure Associated with Institutional Investors: Evidence Based on Chinese Stock Market," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 515-542, November.

    More about this item

    Keywords

    Moment condition models; Heterogenous populations; Optimal estimating equations; Generalized method of moments; Weighted method of moments; Empirical likelihood;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cuf:journl:y:2011:v:12:i:1:p:89-107. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Qiang Gao). General contact details of provider: http://edirc.repec.org/data/emcufcn.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.