Finite Sample Properties of Localized Moment Estimator
نویسنده
چکیده
This paper investigates finite sample properties of localized version of moment estimator including Local Generalized Method of Moments(LGMM) and conditional Euclidean Empirical Likelihood(CEEL) estimator. By comparing the performance of LGMM estimator and C-EEL estimator with various nonparametric techniques including the choice of bandwidth, choice of kernel and trimming strategies, this paper studies the finite sample properties of these estimators and proposes optimal nonparametric techniques for each estimator. Furthermore, this paper compares the finite sample properties of local moment estimator to non-local moment estimator. By comparing nonlocal estimator including general methods of moments(GMM) estimator and generalized empirical likelihood(GEL) estimator with localized moment estimator, I suggest localized moment estimator shows better finite sample properties than non-local moment estimator when we have linear model with unknown heteroskedasticity.
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