Efficient estimation of general dynamic models with a continuum of moment conditions.
There are two difficulties with the implementation of the characteristic function-based estimators. First, the optimal instrument yielding the ML efficiency depends on the unknown probability density function. Second, the need to use a large set of moment conditions leads to the singularity of the c...
| Publicado en: | Journal of Econometrics Vol. 140; no. 2; pp. 529 - 574 |
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| Autores principales: | , , , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
October 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=511354948&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511354948 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: October 2007 vid: 140 iid: 2 pid: 1004 pub: Elsevier Science artinfo: ui: 511354948 10.1016/j.jeconom.2006.07.013 ppf: 529 ppct: 45 formats: tig: atl: Efficient estimation of general dynamic models with a continuum of moment conditions. aug: au: Carrasco, Marine Chernov, Mikhail Florens, Jean-Pierre Ghysels, Eric su: Estimation theory Moments method (Statistics) sug: subj: Estimation theory Moments method (Statistics) ab: There are two difficulties with the implementation of the characteristic function-based estimators. First, the optimal instrument yielding the ML efficiency depends on the unknown probability density function. Second, the need to use a large set of moment conditions leads to the singularity of the covariance matrix. We resolve the two problems in the framework of GMM with a continuum of moment conditions. A new optimal instrument relies on the double indexing and, as a result, has a simple exponential form. The singularity problem is addressed via a penalization term. We introduce HAC-type estimators for non-Markov models. A simulated method of moments is proposed for non-analytical cases. 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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