Asymptotics For Gmm Estimators With Weak Instruments
Download Asymptotics For Gmm Estimators With Weak Instruments full books in PDF, epub, and Kindle. Read online free Asymptotics For Gmm Estimators With Weak Instruments ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : James H. Stock |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 1996 |
| Genre | : Asymptotic distribution (Probability theory) |
| ISBN | : |
This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory to obtain a limiting representation of the (concentrated) objective function as a stochastic process. The general results are specialized to two leading cases, linear instrumental variables regression and GMM estimation of Euler equations obtained from the consumption-based capital asset pricing model with power utility. Numerical results of the latter model confirm that finite sample distributions can deviate substantially from normality, and indicate that these deviations are captured by the weak instrument asymptotic approximations.
| Author | : Alastair R. Hall |
| Publisher | : Oxford University Press |
| Total Pages | : 413 |
| Release | : 2005 |
| Genre | : Business & Economics |
| ISBN | : 0198775210 |
Generalized Method of Moments (GMM) has become one of the main statistical tools for the analysis of economic and financial data. This book is the first to provide an intuitive introduction to the method combined with a unified treatment of GMM statistical theory and a survey of recentimportant developments in the field. Providing a comprehensive treatment of GMM estimation and inference, it is designed as a resource for both the theory and practice of GMM: it discusses and proves formally all the main statistical results, and illustrates all inference techniques using empiricalexamples in macroeconomics and finance.Building from the instrumental variables estimator in static linear models, it presents the asymptotic statistical theory of GMM in nonlinear dynamic models. Within this framework it covers classical results on estimation and inference techniques, such as the overidentifying restrictions test andtests of structural stability, and reviews the finite sample performance of these inference methods. And it discusses in detail recent developments on covariance matrix estimation, the impact of model misspecification, moment selection, the use of the bootstrap, and weak instrumentasymptotics.
| Author | : Joachim Inkmann |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 224 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642565719 |
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
| Author | : Laszlo Matyas |
| Publisher | : Cambridge University Press |
| Total Pages | : 332 |
| Release | : 1999-04-13 |
| Genre | : Business & Economics |
| ISBN | : 9780521669672 |
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
| Author | : Donald W. K. Andrews |
| Publisher | : Cambridge University Press |
| Total Pages | : 589 |
| Release | : 2005-07-04 |
| Genre | : Business & Economics |
| ISBN | : 1139444603 |
This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
| Author | : Lutz Kilian |
| Publisher | : Cambridge University Press |
| Total Pages | : 757 |
| Release | : 2017-11-23 |
| Genre | : Business & Economics |
| ISBN | : 1108186874 |
Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
| Author | : A. Colin Cameron |
| Publisher | : Cambridge University Press |
| Total Pages | : 1064 |
| Release | : 2005-05-09 |
| Genre | : Business & Economics |
| ISBN | : 9780521848053 |
The book is oriented to the practitioner.
| Author | : P. C. B. Phillips |
| Publisher | : Cambridge University Press |
| Total Pages | : 390 |
| Release | : 2006-01-09 |
| Genre | : Business & Economics |
| ISBN | : 9780521807234 |
The essays in this book explore important theoretical and applied advances in econometrics.
| Author | : James J. Heckman |
| Publisher | : Elsevier |
| Total Pages | : 1013 |
| Release | : 2007-12-13 |
| Genre | : Business & Economics |
| ISBN | : 0080556280 |
As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice behavior and social interactions. All of the essays in this volume and its companion volume 6B offer guidance to the practitioner on how to apply the methods they discuss to interpret economic data. The authors of the chapters are all leading scholars in the fields they survey and extend.*Part of the renowned Handbooks in Economics Series*Updates and expands the exisiting Handbook of Econometrics volumes*An invaluable reference written by some of the world's leading econometricians.
| Author | : Badi Baltagi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 239 |
| Release | : 2008-06-30 |
| Genre | : Business & Economics |
| ISBN | : 0470518863 |
Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.
