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題名 Estimation of Conditional Moment Restrictions without Assuming Parameter Identifiability in the Implied Unconditional Moments
作者 Hsu,Shih-Hsun ;Kuan,Chung-Ming
徐士勛;管中閔
貢獻者 政大經濟系
關鍵詞 Conditional moment restrictions;Fourier coefficients;Generically comprehensive revealing function;Global identifiability;GMM
日期 2011-11
上傳時間 17-Sep-2013 15:28:56 (UTC+8)
摘要 A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter identifiability. These unconditional moments depend on the “instruments” generated from a “generically comprehensively revealing” function, and they are further projected along the exponential Fourier series. The objective function is based on the resulting Fourier coefficients, from which an estimator can be easily computed. A novel feature of our method is that the full continuum of unconditional moments is incorporated into each Fourier coefficient. We show that, when the number of Fourier coefficients in the objective function grows at a proper rate, the proposed estimator is consistent and asymptotically normally distributed. An efficient estimator is also readily obtained via the conventional two-step GMM method. Our simulations confirm that the proposed estimator compares favorably with that of Domínguez and Lobato (2004, Econometrica) in terms of bias, standard error, and mean squared error.
關聯 Journal of Econometrics, 165(1), 87-99
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.jeconom.2011.05.008
dc.contributor 政大經濟系en_US
dc.creator (作者) Hsu,Shih-Hsun ;Kuan,Chung-Mingen_US
dc.creator (作者) 徐士勛;管中閔-
dc.date (日期) 2011-11en_US
dc.date.accessioned 17-Sep-2013 15:28:56 (UTC+8)-
dc.date.available 17-Sep-2013 15:28:56 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2013 15:28:56 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61077-
dc.description.abstract (摘要) A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter identifiability. These unconditional moments depend on the “instruments” generated from a “generically comprehensively revealing” function, and they are further projected along the exponential Fourier series. The objective function is based on the resulting Fourier coefficients, from which an estimator can be easily computed. A novel feature of our method is that the full continuum of unconditional moments is incorporated into each Fourier coefficient. We show that, when the number of Fourier coefficients in the objective function grows at a proper rate, the proposed estimator is consistent and asymptotically normally distributed. An efficient estimator is also readily obtained via the conventional two-step GMM method. Our simulations confirm that the proposed estimator compares favorably with that of Domínguez and Lobato (2004, Econometrica) in terms of bias, standard error, and mean squared error.en_US
dc.format.extent 348388 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Econometrics, 165(1), 87-99en_US
dc.subject (關鍵詞) Conditional moment restrictions;Fourier coefficients;Generically comprehensive revealing function;Global identifiability;GMMen_US
dc.title (題名) Estimation of Conditional Moment Restrictions without Assuming Parameter Identifiability in the Implied Unconditional Momentsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jeconom.2011.05.008en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.jeconom.2011.05.008en_US