Stochastic Expansions and Moment Approximations for Three Indirect Estimators
This paper deals with properties of three indirect estimators that are known to be (first order) asymptotically equivalent. Specifically, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given a), we are concerned with valid moment approximations and employ them to characterize the second order bias structure of the estimators. Our motivation resides on the fact that one of the three is reported by the relevant literature to be second order unbiased. However, this result was derived without any establishment of validity. We provide this establishment, but we are also able to massively generalize the conditions under which this second order property remains true. In this way, we essentially prove their higher order inequivalence. We generalize indirect estimators by introducing recursive ones, emerging from multistep optimization procedures. We are able to establish higher order unbiaseness for estimators of this sort.
|Date of creation:||17 Mar 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+301) 8214021
Fax: (301) 8214021
Web page: http://deos.aueb.gr/
More information through EDIRC
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.:
- Tripathi, Gautam, 2000. "Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 139-142, February.
- Andrews, Donald W.K., 2002.
"EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS,"
Cambridge University Press, vol. 18(05), pages 1040-1085, October.
- Donald W.K. Andrews, 2000. "Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics," Cowles Foundation Discussion Papers 1269, Cowles Foundation for Research in Economics, Yale University.
- Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana, 2001.
"Constrained indirect inference estimation,"
LSE Research Online Documents on Economics
25061, London School of Economics and Political Science, LSE Library.
- Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 131-138, February.
- P. C. B. Phillips, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 183-224.
- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992.
92.279, Toulouse - GREMAQ.
- Gallant, A. Ronald & Tauchen, George, 1996.
"Which Moments to Match?,"
Cambridge University Press, vol. 12(04), pages 657-681, October.
- Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
When requesting a correction, please mention this item's handle: RePEc:aue:wpaper:1004. 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: (Ekaterini Glynou)
If references are entirely missing, you can add them using this form.