Estimation with overidentifying inequality moment conditions |
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Authors: | Hyungsik Roger Moon Frank Schorfheide |
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Affiliation: | 1. University of Southern California, United States;2. University of Pennsylvania, United States;3. CEPR, United Kingdom;4. NBER, United States |
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Abstract: | This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically uniformly valid tests and confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as a data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The results obtained in this paper extend to conventional GMM estimators. |
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Keywords: | C13 E52 |
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