| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0197 |
| 来源ID | Technical Working Paper 0197 |
| A Practitioner's Guide to Robust Covariance Matrix Estimation | |
| Wouter J. Den Haan; Andrew T. Levin | |
| 发表日期 | 1996-06-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | 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 instruments asymptotic approximations. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0197 |
| 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/563077 |
| 推荐引用方式 GB/T 7714 | Wouter J. Den Haan,Andrew T. Levin. A Practitioner's Guide to Robust Covariance Matrix Estimation. 1996. |
| 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 | ||
| t0197.pdf（1759KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
