Download e-book for iPad: Conditional Moment Estimation of Nonlinear Equation Systems: by Joachim Inkmann

By Joachim Inkmann

ISBN-10: 3540412077

ISBN-13: 9783540412076

ISBN-10: 3642565719

ISBN-13: 9783642565717

Generalized approach to moments (GMM) estimation of nonlinear platforms has vital benefits over traditional greatest probability (ML) estimation: GMM estimation often calls for much less restrictive distributional assumptions and continues to be computationally appealing while ML estimation turns into burdensome or maybe most unlikely. This booklet offers an in-depth therapy of the conditional second method of GMM estimation of types often encountered in utilized microeconometrics. It covers either huge pattern and small pattern houses of conditional second estimators and offers an program to empirical commercial association. With its entire and up to date assurance of the topic together with subject matters like bootstrapping and empirical probability strategies, the publication addresses scientists, graduate scholars and pros in utilized econometrics.

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Extra info for Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D

Example text

1 Asymptotic Efficiency Gains In this section it is shown that the asymptotic efficiency of GMM estimators may increase with an increasing number of overidentifying restrictions. 4), there are generally two approaches to gain overidentifying restrictions which may be combined. The first approach takes the vector of conditional moment functions as a given and enlarges the set of instruments with additional instruments which do not depend on additional unknown parameters. Using an argument of Davidson and MacKinnon (1993, p.

E. the Hessian is positive semidefinite). Newey and McFadden (1994, ch. 6) present the general consistency theorem for the case of maximization which naturally requires concavity of the objective function. This theorem is not replicated here because its relevance beyond the essentially linear models discussed by Hansen, which are not of primary interest in this book, seems to be somewhat restricted for GMM estimation. 2. A short inspection reveals that the corresponding objective functions are not convex in the parameters to be estimated.

For every n (cf. Amemiya, 1985, p. 89). 2) {I -[(; t. G(Z" a. ))r (~t,G(z" a. G(Z" al)) - - where 9 denotes a value in the segment (9 0 , eo)' Using the ULLN (iv) in Theorem 3 and denoting the consistency of both 9 0 and 9, the second term on the right hand side converges in probability to zero because Op(l)op(l)= op(l). The limiting distribution of the ftrst row is the same as ,the one of the stabilizing transformation of eby the same reasoning used for the proof of Theorem 3. Therefore an estimator is available from a single iteration which is ftrst order efftciency equivalent to the fully iterated GMM estimator 9 and requires much less computational efforts.

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Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D by Joachim Inkmann

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