A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/8401 |
Resumo: | This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected. |
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A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance ParameterGMMEmpirical LikelihoodExponential TiltingContinuous UpdatingBiasStochastic ExpansionsThis papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected.2013-04-03T11:28:53Z2013-04-032003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/8401http://hdl.handle.net/10174/8401engNewey, W.K., J.J.S. Ramalho e R.J. Smith (2003), Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters, Documento de Trabalho nº 2003/05, Universidade de Évora, Departamento de Economia.41ndjsr@uevora.ptndC13, C305_2003Department of Economics, M.I.T.Department of Economics, University of ÉvoraDepartment of Economics, University of WarwickNewey, Whitney K.Ramalho, Joaquim J.S.Smith, Richard J.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:49:20Zoai:dspace.uevora.pt:10174/8401Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:02:39.759992Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
title |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
spellingShingle |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter Newey, Whitney K. GMM Empirical Likelihood Exponential Tilting Continuous Updating Bias Stochastic Expansions |
title_short |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
title_full |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
title_fullStr |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
title_full_unstemmed |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
title_sort |
A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter |
author |
Newey, Whitney K. |
author_facet |
Newey, Whitney K. Ramalho, Joaquim J.S. Smith, Richard J. |
author_role |
author |
author2 |
Ramalho, Joaquim J.S. Smith, Richard J. |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Newey, Whitney K. Ramalho, Joaquim J.S. Smith, Richard J. |
dc.subject.por.fl_str_mv |
GMM Empirical Likelihood Exponential Tilting Continuous Updating Bias Stochastic Expansions |
topic |
GMM Empirical Likelihood Exponential Tilting Continuous Updating Bias Stochastic Expansions |
description |
This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected. |
publishDate |
2003 |
dc.date.none.fl_str_mv |
2003-01-01T00:00:00Z 2013-04-03T11:28:53Z 2013-04-03 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/8401 http://hdl.handle.net/10174/8401 |
url |
http://hdl.handle.net/10174/8401 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Newey, W.K., J.J.S. Ramalho e R.J. Smith (2003), Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters, Documento de Trabalho nº 2003/05, Universidade de Évora, Departamento de Economia. 41 nd jsr@uevora.pt nd C13, C30 5_2003 Department of Economics, M.I.T. Department of Economics, University of Évora Department of Economics, University of Warwick |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799136510611554304 |