On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood
A number of information-theoretic alternatives to GMM have recently been proposed in the literature. For practical use and general interpretation, the main drawback of these alternatives, particularly in the case of conditional moment restrictions, is that they rely on high dimensional convex optimization programs. The main contribution of this paper is to analyze the informational content of estimating equations within the unified framework of least squares projections. Improved inference by control variables, shrinkage of implied probabilities and information-theoretic interpretations of continuously updated GMM are discussed in the two cases of unconditional and conditional moment restrictions. Plusieurs méthodes alternatives à GMM basées sur un critère d'information ont récemment été proposées. Pour leur utilisation pratique et leur interprétation, le principal défaut de ces alternatives, particulièrement dans le cas de restrictions de moments conditionnels, est de faire appel à des programmes d'optimisation convexe de très grande dimension. La contribution principale de cet article est d'analyser le contenu informatif d'équations estimantes dans le cadre unifié de projections de moindres carrés. L'amélioration de l'inférence par variables de contrôle, le calcul des probabilités impliquées et les interprétations informationnelles des différentes versions de GMM sont discutés dans les deux cadres de moments conditionnels et inconditionnels.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Harvard Institute of Economic Research Working Papers
1736, Harvard - Institute of Economic Research.
- 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.
- Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
- Guido W Imbens, Phillip Johnson & Richard H Spady, "undated". "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc.
- Donald, Stephen G. & Newey, Whitney K., 2000. "A jackknife interpretation of the continuous updating estimator," Economics Letters, Elsevier, vol. 67(3), pages 239-243, June.
- 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.
- 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.
- Bera, Anil K. & Bilias, Yannis, 2002. "The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 51-86, March.
- Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
- Back, Kerry & Brown, David P, 1993. "Implied Probabilities in GMM Estimators," Econometrica, Econometric Society, vol. 61(4), pages 971-975, July.
- Guido W. Imbens, 1997. "One-Step Estimators for Over-Identified Generalized Method of Moments Models," Review of Economic Studies, Oxford University Press, vol. 64(3), pages 359-383.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
- 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.
- 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.
- 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.
- Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
- Zellner, Arnold & Tobias, Justin, 2001.
"Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 121-140, February.
- Tobias, Justin & Zellner, Arnold, 2001. "Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model," Staff General Research Papers Archive 12021, Iowa State University, Department of Economics.
- Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Zellner, Arnold, 2007. "Some aspects of the history of Bayesian information processing," Journal of Econometrics, Elsevier, vol. 138(2), pages 388-404, June.
- Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-548, May.
- Severini, Thomas A. & Tripathi, Gautam, 2001. "A simplified approach to computing efficiency bounds in semiparametric models," Journal of Econometrics, Elsevier, vol. 102(1), pages 23-66, May.
- Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
- Alastair R. Hall, 2000. "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Econometric Society, vol. 68(6), pages 1517-1528, November.
- Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
- Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:138:y:2007:i:2:p:461-487. 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: (Shamier, Wendy)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 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.