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Estimation with overidentifying inequality moment conditions

  • Moon, Hyungsik Roger
  • Schorfheide, Frank

This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically uniformly valid tests and confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as a data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The results obtained in this paper extend to conventional GMM estimators.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 153 (2009)
Issue (Month): 2 (December)
Pages: 136-154

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Handle: RePEc:eee:econom:v:153:y:2009:i:2:p:136-154
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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