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Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

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INKMANN, Joachim, 2000. Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation

@techreport{Inkmann2000Finit-12084, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation}, year={2000}, number={2000/03}, author={Inkmann, Joachim} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12084"> <dc:contributor>Inkmann, Joachim</dc:contributor> <dcterms:abstract xml:lang="eng">This paper compares conventional GMM estimators to empirical likelihood based GMM estimators which employ a semiparametric efficient estimate of the unknown distribution function of the data. One-step, two-step and bootstrap empirical likelihood and conventional GMM estimators are considered which are efficient for a given set of moment conditions. The estimators are subject to a Monte Carlo investigation using a specification which exploits sequeantial conditional moment restrictions for binary panel data with multiplicative latent effects. Among other findings the experiments show that the one-step and two-step estimators yield coverage rates of confidence intervals below their nominal coverage probabilities. The bootstrap methods improve upon this result.</dcterms:abstract> <dc:rights>deposit-license</dc:rights> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:35Z</dc:date> <dcterms:issued>2000</dcterms:issued> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:35Z</dcterms:available> <dcterms:title>Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation</dcterms:title> <dc:language>eng</dc:language> <dc:creator>Inkmann, Joachim</dc:creator> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dc:format>application/pdf</dc:format> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12084"/> </rdf:Description> </rdf:RDF>

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