Journal ArticleDOI
An information-theoretic alternative to generalized method of moments estimation
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TLDR
In this article, the Kullback-Leibler Information Criterion is used for weakly dependent data generating mechanisms, and conditions are derived under which the large sample properties of this estimator are similar to GMM, i.e., the estimator will be consistent and asymptotically normal, with the same covariance matrix as GMM.Abstract:
While optimally weighted GMM estimation has desirable large sample properties, its small sample performance is poor in some applications. We propose a computationally simple alternative, for weakly dependent data generating mechanisms, based on minimization of the Kullback-Leibler Information Criterion. Conditions are derived under which the large sample properties of this estimator are similar to GMM, i.e., the estimator will be consistent and asymptotically normal, with the same asymptotic covariance matrix as GMM. In addition, we propose overidentifying and parametric restrictions tests as alternatives to analogous GMM procedures.read more
Citations
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Entropy Balancing for Causal Effects: A Multivariate Reweighting Method to Produce Balanced Samples in Observational Studies
TL;DR: Entropy balancing, a data preprocessing method to achieve covariate balance in observational studies with binary treatments, obviates the need for continual balance checking and iterative searching over propensity score models that may stochastically balance the covariate moments.
Journal ArticleDOI
Efficient estimation of average treatment effects using the estimated propensity score
TL;DR: The authors showed that weighting by the inverse of a nonparametric estimate of the propensity score, rather than the true propensity score leads to an efficient estimation of the average treatment effect.
Journal ArticleDOI
An IV Model of Quantile Treatment Effects
TL;DR: In this article, the authors developed a model of quantile treatment effects (QTE) in the presence of endogeneity and obtained conditions for identification of the QTE without functional form assumptions.
Journal ArticleDOI
Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
Whitney K. Newey,Richard Smith +1 more
TL;DR: In this paper, bias corrected generalized empirical likelihood (GEL) and generalized generalized method of moments (GMM) estimators have been compared and it is shown that GEL has no asymptotic bias due to correlation of the moment functions with their Jacobian.
Journal ArticleDOI
An MCMC approach to classical estimation
Victor Chernozhukov,Han Hong +1 more
TL;DR: The Laplace type estimators (LTEs) as mentioned in this paper are a family of estimators that include means and quantiles of quasi-posterior distributions defined as transformations of general (nonlikelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods.
References
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Journal ArticleDOI
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Journal ArticleDOI
Empirical Likelihood and General Estimating Equations
Jin Qin,Jerry Lawless +1 more
TL;DR: In this article, empirical likelihood ratio statistics for various parameters of an unknown distribution have been used to obtain tests or confidence intervals in a way that is completely analogous to that used with parametric likelihoods.
Journal ArticleDOI
$I$-Divergence Geometry of Probability Distributions and Minimization Problems
TL;DR: In this article, the minimum discrimination information problem is viewed as projecting a PD onto a convex set of PD's and useful existence theorems for and characterizations of the minimizing PD are arrived at.
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