A New Class of Indirect Estimators and Bias Correction
In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation. We extend this set to a class of multistep indirect estimators that have potentially useful higher order bias properties. Furthermore, the widely employed "feasibly biased corrected estimator" is an one optimazation step approxiamtion of the suggested on.
|Date of creation:||22 Jul 2010|
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- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Dimitra Kyriakopoulou & Antonis Demos, 2008. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business, revised 03 May 2010.
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- Gabriele Fiorentini & Enrique Sentana, 2001.
"Constrained Indirect Inference Estimation,"
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dp384, Financial Markets Group.
- Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
- 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.
- Andrews, Donald W.K., 2002. "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1040-1085, October.
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