Information Theoretic Approaches to Inference in Moment Condition Models
This paper develops a variant of one-step efficient GMM based on the KLIC rather than empirical likelihood. As in other one-step methods, the authors introduce M (the number of moments) auxiliary 'tilting' parameters which are used to construct a reweighting of the data so that the reweighted sample obeys all the moment conditions at the parameter estimates. Parameter and overidentification tests can be recast in terms of these tilting parameters; such tests are often startlingly more effective than their conventional counterparts. These performance differences cannot be completely explained by the leading terms of the statistics' asymptotic expansions.
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Volume (Year): 66 (1998)
Issue (Month): 2 (March)
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- Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
- K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
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- Andrew Chesher & Richard J. Smith, 1997. "Likelihood Ratio Specification Tests," Econometrica, Econometric Society, vol. 65(3), pages 627-646, May.
- Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier.
- Joseph G. Altonji & Lewis M. Segal, 1994.
"Small sample bias in GMM estimation of covariance structures,"
Working Paper Series, Macroeconomic Issues
94-8, Federal Reserve Bank of Chicago.
- 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.
- Joseph G. Altonji & Lewis M. Segal, 1994. "Small Sample Bias in GMM Estimation of Covariance Structures," NBER Technical Working Papers 0156, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
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