| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0186 |
| 来源ID | Technical Working Paper 0186 |
| Information Theoretic Approaches to Inference in Moment Condition Models | |
| Guido W. Imbens; Phillip Johnson; Richard H. Spady | |
| 发表日期 | 1995-10-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample obeys all the moment restrictions at the parameter estimates. In this paper we consider an alternative KLIC motivated weighting and show how it and similar discrete reweightings define a class of unconstrained optimization problems which includes GMM as a special case. Such KLIC-motivated reweightings introduce M auxiliary `tilting' parameters, where M is the number of moments; parameter and overidentification hypotheses can be recast in terms of these tilting parameters. Such tests, when appropriately conditioned on the estimates of the original parameters, are often startlingly more effective than their conventional counterparts. This is apparently due to the local ancillarity of the original parameters for the tilting parameters. |
| URL | https://www.nber.org/papers/t0186 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562733 |
| 推荐引用方式 GB/T 7714 | Guido W. Imbens,Phillip Johnson,Richard H. Spady. Information Theoretic Approaches to Inference in Moment Condition Models. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0186.pdf（1085KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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