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|
|Date of revision:|
|Contact details of provider:|| Postal: 76, Patission Street, Athens 104 34|
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.:
- Tauchen, George E. & Gallant, A. Ronald, 1995.
"Which Moments to Match,"
95-20, Duke University, Department of Economics.
- Iglesias, Emma M. & Linton, Oliver B., 2007. "Higher Order Asymptotic Theory When A Parameter Is On A Boundary With An Application To Garch Models," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1136-1161, December.
- 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.
- 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.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
- Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
- 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.
When requesting a correction, please mention this item's handle: RePEc:aue:wpaper:1023. 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.