Estimation and inference in the case of competing sets of estimating equations.
When there is uncertainty concerning the appropriate statistical model and corresponding estimators and inference methods, we use the Cressie-Read measure of divergence to define a semiparametric estimator, β[Graphic Character Omitted](α@), that combines plausible estimation problems. This estimatio...
| Publicado en: | Journal of Econometrics Vol. 138; no. 2; pp. 513 - 532 |
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| Autores principales: | , |
| Formato: | Artículo |
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Elsevier Science
June 2007
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511328554&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511328554 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: June 2007 vid: 138 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 511328554 10.1016/j.jeconom.2006.05.007 ppf: 513 ppct: 19 formats: tig: atl: Estimation and inference in the case of competing sets of estimating equations. aug: au: Judge, George G. Mittelhammer, Ron C. su: Probability theory Information theory in economics Estimation theory sug: subj: Probability theory Information theory in economics Estimation theory ab: When there is uncertainty concerning the appropriate statistical model and corresponding estimators and inference methods, we use the Cressie-Read measure of divergence to define a semiparametric estimator, β[Graphic Character Omitted](α@), that combines plausible estimation problems. This estimation procedure identifies, conditional on the data, an optimal combination of competing estimators for the unknown parameters associated with the alternative plausible structural model specifications. The optimization is handled internally and avoids the tuning parameters usually necessary in problems of this type. To illustrate finite sample performance, an extensive sampling experiment is conducted to demonstrate the adaptive nature of the estimator for an array of data sampling specifications. Copyright (c) 2007 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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