Moment Restriction-based Econometric Methods: An Overview
Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will provide semiparametric estimates or tests. If we use the score to construct moment restrictions to estimate finite dimensional parameters, this yields maximum likelihood (ML) estimates. Semiparametric or nonparametric settings based on moment restrictions have been the main concern in the literature, and comprise the most important and interesting topics. The purpose of this special issue on "Moment Restriction-based Econometric Methods" is to highlight some areas in which novel econometric methods have contributed significantly to the analysis of moment restrictions, specifically asymptotic theory for nonparametric regression with spatial data, a control variate method for stationary processes, method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models, properties of the CUE estimator and a modification with moments, finite sample properties of alternative estimators of coefficients in a structural equation with many instruments, instrumental variable estimation in the presence of many moment conditions, estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments, moment-based estimation of smooth transition regression models with endogenous variables, a consistent nonparametric test for nonlinear causality, and linear programming-based estimators in simple linear regression.
|Date of creation:||Oct 2010|
|Contact details of provider:|| Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501|
Web page: http://www.kier.kyoto-u.ac.jp/eng/index.html
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.:
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C., 2011.
"Moment-based estimation of smooth transition regression models with endogenous variables,"
Journal of Econometrics,
Elsevier, vol. 165(1), pages 100-111.
- Areosa, W.D. & McAleer, M.J. & Medeiros, M.C., 2008. "Moment-bases estimation of smooth transition regression models with endogenous variables," Econometric Institute Research Papers EI 2008-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
- Waldyr Dutra Areosa & Michael McAleer & Marcelo C. Medeiros, 2009. "Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables," CIRJE F-Series CIRJE-F-671, CIRJE, Faculty of Economics, University of Tokyo.
- Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
- Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
- Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Morimune, Kimio, 1983. "Approximate Distributions of k-Class Estimators When the Degree of Overidentifiability Is Large Compared with the Sample Size," Econometrica, Econometric Society, vol. 51(3), pages 821-841, May.
- Wang, Liqun & Hsiao, Cheng, 2011. "Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models," Journal of Econometrics, Elsevier, vol. 165(1), pages 30-44.
- Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney, 2011. "Properties of the CUE estimator and a modification with moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 45-57.
- Preve, Daniel & Medeiros, Marcelo C., 2011. "Linear programming-based estimators in simple linear regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 128-136.
- Daniel Preve & Marcelo Cunha Medeiros, 2010. "Linear Programming-Based Estimators in Simple Linear Regression," Textos para discussão 567, Department of Economics PUC-Rio (Brazil).
- Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
- Yoon-Jae Whang & Donald W.K. Andrews, 1991. "Tests of Specification for Parametric and Semiparametric Models," Cowles Foundation Discussion Papers 968, Cowles Foundation for Research in Economics, Yale University.
- Okui, Ryo, 2011. "Instrumental variable estimation in the presence of many moment conditions," Journal of Econometrics, Elsevier, vol. 165(1), pages 70-86.
- Kohtarro Hitomi & Yoshinori Kawasaki & Ryo Okui & Yoshihiko Nishiyama, 2005. "A Consistent Nonparametric Test for Causality," KIER Working Papers 602, Kyoto University, Institute of Economic Research.
- T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita, 2008. "On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-577, CIRJE, Faculty of Economics, University of Tokyo.
- Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kyo:wpaper:734. 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: (Ryo Okui)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.