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Generalized moment based estimation and inference

van Akkeren, Marco ; Judge, George ; Mittelhammer, Ron

Journal of econometrics, 2002-03, Vol.107 (1), p.127-148 [Periódico revisado por pares]

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Título:
Generalized moment based estimation and inference
Autor: van Akkeren, Marco ; Judge, George ; Mittelhammer, Ron
Assuntos: Balanced-dual estimating functions ; Econometrics ; Economic models ; Economic theory ; Empirical likelihood ; Empirical research ; Estimating techniques ; Estimation ; Extended estimating equation ; Generalized method of moments ; Ill-conditioned matrices ; Information ; Kullback–Leibler information criterion ; Method of moments ; Methodology ; Probability ; Sampling ; Semiparametric models ; Studies
É parte de: Journal of econometrics, 2002-03, Vol.107 (1), p.127-148
Notas: ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
Descrição: In this paper we consider the case of the general linear statistical model, where the stochastic design matrix has the property that its expectation and probability limits with the vector of unobserved disturbances does not equal to a zero vector and moreover, the explanatory and/or instrumental variables are ill-conditioned. In this context, we contemplate generalized moment based estimating functions that may be biased, and for which the corresponding system of moment conditions are overdetermined. To cope with this situation, we propose a new estimator with attractive finite and asymptotic sampling properties and that result in entropic densities on model parameters.
Editor: Amsterdam: Elsevier B.V
Idioma: Inglês

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