Inference on conditional moment restriction models with generated variables

Material type: 文書・図像類

Author: Kimoto, Ryoほか

Publisher: Keio Economic Observatory Sangyo Kenkyujo

Publication date: 2022-01

Material Format: Digital

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Note (General)：: type:textA seminal work by Domínguez and Lobato (2004) proposed a consistent estimation method for conditional moment restrictions, which does not rel...

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Material Type: 文書・図像類
Title: Inference on conditional moment restriction models with generated variables
Author/Editor: Kimoto, Ryo
大津, 泰介
Author Heading: Kimoto, Ryo
大津, 泰介
Publication, Distribution, etc.: Keio Economic Observatory Sangyo Kenkyujo
Publication Date: 2022-01
Publication Date (W3CDTF): 2022-01
Periodical title: KEO discussion paper
No. or year of volume/issue: 164
Volume: 164
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
A seminal work by Domínguez and Lobato (2004) proposed a consistent estimation method for conditional moment restrictions, which does not rely on additional identification assumptions as in the GMM estimator using unconditional moments and is free from any userchosen number. Their methodology is further extended by Domínguez and Lobato (2015, 2020) for consistent specification testing of conditional moment restrictions, which may involve generated variables. We follow up this literature and derive the asymptotic distribution of Domínguez and Lobato's (2004) estimator that involves generated variables. Our simulation result illustrates that ignoring proxy errors in the generated variables may cause severer distortions for the coverage or size properties of statistical inference on parameters.
DOI: 10.14991/004.00000164-0001
Source: https://koara.lib.keio.ac.jp/xoonips/modules/xoonips/download.php?koara_id=AA10715861-00000164-0001
https://koara.lib.keio.ac.jp/xoonips/modules/xoonips/download.php?koara_id=AA10715861-00000164-0001
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ