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Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models
Joint Authors
Guo, Dongmei
Deng, Ying
Xia, Xiaohua
Hu, Yi
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-27
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Generalized method of moments (GMM) has been widely applied for estimation of nonlinear models in economics and finance.
Although generalized method of moments has good asymptotic properties under fairly moderate regularity conditions, its finite sample performance is not very well.
In order to improve the finite sample performance of generalized method of moments estimators, this paper studies higher-order mean squared error of two-step efficient generalized method of moments estimators for nonlinear models.
Specially, we consider a general nonlinear regression model with endogeneity and derive the higher-order asymptotic mean square error for two-step efficient generalized method of moments estimator for this model using iterative techniques and higher-order asymptotic theories.
Our theoretical results allow the number of moments to grow with sample size, and are suitable for general moment restriction models, which contains conditional moment restriction models as special cases.
The higher-order mean square error can be used to compare different estimators and to construct the selection criteria for improving estimator’s finite sample performance.
American Psychological Association (APA)
Hu, Yi& Xia, Xiaohua& Deng, Ying& Guo, Dongmei. 2014. Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-463592
Modern Language Association (MLA)
Hu, Yi…[et al.]. Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-463592
American Medical Association (AMA)
Hu, Yi& Xia, Xiaohua& Deng, Ying& Guo, Dongmei. Higher Order Mean Squared Error of Generalized Method of Moments Estimators for Nonlinear Models. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-463592
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-463592