E$ciency results of MLE and GMM estimation with sampling weights
نویسنده
چکیده
This paper examines GMM and ML estimation of econometric models and the theory of Hausman tests with sampling weights. Weighted conditional GMM can be more e$cient than weighted conditional MLE, an ine$cient alternative to full information MLE under choice-based sampling, unless regressions have homoscedastic additive disturbances or sampling weights are independent of exogenous variables. GMM variances are necessarily smaller without sampling weights if GMM is the same as MLE or disturbances are homoscedastic, but not in general. Taking into account the dependence of sampling weights on parameters improves the e$ciency of estimation. ( 2000 Elsevier Science S.A. All rights reserved. JEL classixcation: C90; C42; C25
منابع مشابه
Discriminant Approaches for Gmm Based Speaker Detection Systems
This paper presents some experiments on discriminative training for GMM/UBM based speaker recognition systems. We propose two MMIE adaptation methods for GMM component weights suitable for speaker recognition. The impact on performance of this training methods is compared to the standard weight estimation/adaptation criterion, MLE and MAP on standard GMM based systems and on SVM based systems. ...
متن کاملGMM Identication and Estimation of Peer E¤ects in a System of Simultaneous Equations
This paper considers the identi cation and estimation of network models with agents interacting in multiple activities. We establish the model identi cation using both linear and quadratic moment conditions. The quadratic moment conditions exploit the covariance structure of individualschoices in the same and related activities, and facilitate the identi cation of peer e¤ects when exclusion re...
متن کاملComparing the performance of GARCH (p,q) models with different methods of estimation for forecasting crude oil market volatility
The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this p...
متن کاملThe Generalized Method of Moments Estimation
11 THE GMM ESTIMATION 2 11.1 Consistency and Asymptotic Normality . . . . . . . . . . . . . . . . . . . . . 3 11.2 Regularity Conditions and Identification . . . . . . . . . . . . . . . . . . . . . 4 11.3 The GMM Interpretation of the OLS Estimation . . . . . . . . . . . . . . . . . 5 11.4 The GMM Interpretation of the MLE . . . . . . . . . . . . . . . . . . . . . . . 6 11.5 The GMM Estimation ...
متن کاملImproving the Performance of Bayesian Estimation Methods in Estimations of Shift Point and Comparison with MLE Approach
A Bayesian analysis is used to detect a change-point in a sequence of independent random variables from exponential distributions. In This paper, we try to estimate change point which occurs in any sequence of independent exponential observations. The Bayes estimators are derived for change point, the rate of exponential distribution before shift and the rate of exponential distribution after s...
متن کامل