No Subject

[Domenico Marinucci <marinucc@scec.eco.uniroma1.it>]

Venerdi 19 aprile, alle ore 17.30, presso gli uffici dell'Ente, il prof.
Richard Smith (University of Bristol) terrā il seminario "Higher Order
Properties of GMM and Generalized Empirical Likelihood Estimators".
  
Cordiali saluti,
  
Luigi Guiso
  
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Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators

Whitney K. Newey - Department of Economics M.I.T.

Richard J. Smith - Department of Economics - University of Bristol

Abstract

In an effort to improve the small sample properties of GMM, a number of
alternative estimators have been suggested. These include empirical
likelihood (EL), continuous updating, and exponential tilting estimators.
We show that these estimators share a common structure, being members of a
class of Generalized Empirical Likelihood (GEL) estimators. We use this
structure to compare their higher-order asymptotic properties. We Ūnd that
the asymptotic bias of EL often does not grow with the number of moment
restrictions, while that of GMM and other GEL estimators grows without
bound. We also use the bias formulae to derive bias corrected GMM and GEL
estimators. We find that bias corrected EL and GEL estimators with the same
expansion as EL inherit the higher-order property of maximum likelihood,
that they are asymptotically efficient relative to the other bias corrected
estimators.
  
  

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