Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Fuente: arXiv
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Main Authors: Chen, Xiaohong, Lee, Sokbae, Seo, Myung Hwan, Song, Myunghyun
Format: Preprint
Published: 2020
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author Chen, Xiaohong
Lee, Sokbae
Seo, Myung Hwan
Song, Myunghyun
author_facet Chen, Xiaohong
Lee, Sokbae
Seo, Myung Hwan
Song, Myunghyun
contents Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or irrelevant. Building on Bierens (1990), we propose penalized maximum statistics and combine bootstrap inference with model selection. Our method optimizes asymptotic power by solving a data-dependent max-min problem for tuning parameter selection. Extensive Monte Carlo experiments, based on an empirical example, demonstrate the extent to which our inference procedure is superior to those available in the literature.
format Preprint
id arxiv_https___arxiv_org_abs_2008_11140
institution arXiv
publishDate 2020
record_format arxiv
spellingShingle Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
Chen, Xiaohong
Lee, Sokbae
Seo, Myung Hwan
Song, Myunghyun
Econometrics
Statistics Theory
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or irrelevant. Building on Bierens (1990), we propose penalized maximum statistics and combine bootstrap inference with model selection. Our method optimizes asymptotic power by solving a data-dependent max-min problem for tuning parameter selection. Extensive Monte Carlo experiments, based on an empirical example, demonstrate the extent to which our inference procedure is superior to those available in the literature.
title Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
topic Econometrics
Statistics Theory
url https://arxiv.org/abs/2008.11140