Augmented two-step estimating equations with nuisance functionals and complex survey data

Estimating Euler Equations with Noisy Data : Two Exact GMM Estimators

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional assumption and solves out for the unknown, but constant, conditional mean. Our monte carlo results suggest tha...

Resampling Methods in Complex Survey Data

A Weighted Estimating Equations Approach to Inference for Two-level Models from Survey Data

Multi-level models are extensively used for analyzing survey data with design hierarchy matching the model hierarchy. We propose a weighted estimating equations (WEE) approach for two-level models that leads to design-model consistent estimators of model parameters even when the within-cluster sample sizes are small, provided the number of sample clusters is large. A unified approach based on w...

Use of functionals in linearization and composite estimation with application to two-sample survey data

An important problem associated with two-sample surveys is estimation of nonlinear functions of finite population totals such as ratios, correlation coefficients or measures of income inequality. Computation and estimation of the variance of such complex statistics are made more difficult by the existence of overlapping units. In one-sample surveys, the linearization method based on the influen...

Two-step Smoothing Estimation of the Time-variant Parameter with Application to Temperature Data

‎In this article‎, ‎we develop two nonparametric smoothing estimators for parameter of a time-variant parametric model‎. ‎This parameter can be from any parametric family or from any parametric or semi-parametric regression model‎. ‎Estimation is based on a two-step procedure‎, ‎in which we first get the raw estimate of the parameter at a set of disjoint time...