SUPPLEMENT TO GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE By
نویسندگان
چکیده
منابع مشابه
Gmm Estimation and Uniform Subvector Inference with Possible Identification Failure By
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...
متن کاملGmm Estimation and Uniform Subvector Inference with Possible Identification Failure
This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...
متن کاملSupplemental Appendix to MAXIMUM LIKELIHOOD ESTIMATION AND UNIFORM INFERENCE WITH SPORADIC IDENTIFICATION FAILURE By
متن کامل
METHODS FOR NONPARAMETRIC AND SEMIPARAMETRIC REGRESSIONS WITH ENDOGENEITY: A GENTLE GUIDE By
This paper reviews recent advances in estimation and inference for nonparametric and semiparametric models with endogeneity. It first describes methods of sieves and penalization for estimating unknown functions identified via conditional moment restrictions. Examples include nonparametric instrumental variables regression (NPIV), nonparametric quantile IV regression and many more semi-nonparam...
متن کاملDemand Estimation with High-dimensional Product Characteristics
Structural models of demand founded on the classic work of Berry, Levinsohn, and Pakes (1995) link variation in aggregate market shares for a product to the influence of product attributes on heterogeneous consumer tastes. We consider implementing these models in settings with complicated products where consumer preferences for product attributes are sparse, that is, where a small proportion of...
متن کامل