Fourth order pseudo maximum likelihood methods
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that conditional distributions are non-Gaussian in many economic situations. The key statistical tool here is the quartic exponential family, which allows us to generalize the PML2 and QGPML1 methods proposed in GMT(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the QGPML2 method reaches the semi-parametric bound. The key numerical tool that we use is the Gauss-Freud integration scheme which solves a computational problem that has previously been raised in several econometric fields. Simulation exercises show the feasibility and robustness of the methods.
|Date of creation:||Aug 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 021 692 33 20
Fax: 021 692 36 55
Web page: http://www.hec.unil.ch/iems/
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.:
- repec:cup:cbooks:9780521477451 is not listed on IDEAS
- repec:cup:cbooks:9780521471626 is not listed on IDEAS
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometric Society, vol. 52(3), pages 681-700, May.
- 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.
- 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 353-66, 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.
- Willard G. Manning & Anirban Basu & John Mullahy, 2003.
"Generalized Modeling Approaches to Risk Adjustment of Skewed Outcomes Data,"
NBER Technical Working Papers
0293, National Bureau of Economic Research, Inc.
- Manning, Willard G. & Basu, Anirban & Mullahy, John, 2005. "Generalized modeling approaches to risk adjustment of skewed outcomes data," Journal of Health Economics, Elsevier, vol. 24(3), pages 465-488, May.
- Willard G. Manning & Anirban Basu & John Mullahy, 2003. "Generalized Modeling Approaches to Risk Adjustment of Skewed Outcomes Data," Working Papers 0313, Harris School of Public Policy Studies, University of Chicago.
- 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.
- Newey, Whitney K, 1990. "Semiparametric Efficiency Bounds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 99-135, April-Jun.
- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
- repec:cup:cbooks:9780521252805 is not listed on IDEAS
- Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
- Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, vol. 37(2), pages 195-209, February.
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
- Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
- Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
- Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
- Sawa, Takamitsu, 1978. "Information Criteria for Discriminating among Alternative Regression Models," Econometrica, Econometric Society, vol. 46(6), pages 1273-91, November.
- Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
- Hansen, B.E., 1992.
"Autoregressive Conditional Density Estimation,"
RCER Working Papers
322, University of Rochester - Center for Economic Research (RCER).
- Christian GOURIEROUX & Alain MONFORT, 2006.
"Pricing with Splines,"
Annales d'Economie et de Statistique,
ENSAE, issue 82, pages 3-33.
- Ziliak, James P, 1997. "Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 419-31, October.
- D. Ormoneit & H. White, 1999. "An efficient algorithm to compute maximum entropy densities," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 127-140.
- repec:cup:cbooks:9780521405515 is not listed on IDEAS
- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, .
"EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
Computing in Economics and Finance 1997
6, Society for Computational Economics.
- Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-52, July.
- Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- repec:cup:cbooks:9780521477444 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:hem:wpaper:0802. 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: (Cécile Jaques)
If references are entirely missing, you can add them using this form.