Estimation with overidentifying inequality moment conditions

Hyungsik Roger Moon, Frank Schorfheide

Research output: Contribution to journalArticle

16 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)136-154
Number of pages19
JournalJournal of Econometrics
Volume153
Issue number2
DOIs
Publication statusPublished - 2009 Dec 1

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Moment Conditions
Estimator
Error analysis
Confidence Set
Dynamic models
Monetary Policy
Instrumental Variables
Empirical Likelihood
Economic Model
Macroeconomics
Limit Distribution
Test Set
Estimation Error
Mean Squared Error
Economics
Valid
Model
Moment conditions
Data generating process
Instrumental variables estimator

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Moon, Hyungsik Roger ; Schorfheide, Frank. / Estimation with overidentifying inequality moment conditions. In: Journal of Econometrics. 2009 ; Vol. 153, No. 2. pp. 136-154.
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Estimation with overidentifying inequality moment conditions. / Moon, Hyungsik Roger; Schorfheide, Frank.

In: Journal of Econometrics, Vol. 153, No. 2, 01.12.2009, p. 136-154.

Research output: Contribution to journalArticle

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