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Item Type Article
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AA10715861-00000164-0001  
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Last updated :Jan 19, 2022
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Title
Title Inference on conditional moment restriction models with generated variables  
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Creator
Name Kimoto, Ryo  
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Affiliation Department of Economics, The Pennsylvania State University  
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Name 大津, 泰介  
Kana オオツ, タイスケ  
Romanization Ōtsu, Taisuke  
Affiliation Department of Economics, London School of Economics; 慶應義塾大学産業研究所  
Affiliation (Translated) Keio Economic Observatory  
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Place
Tokyo  
Publisher
Name Keio Economic Observatory Sangyo Kenkyujo  
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Date
Issued (from:yyyy) 2022  
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Physical description
8 p.  
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Name KEO discussion paper  
Name (Translated)  
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Issue 164  
Year 2022  
Month 1  
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Abstract
A seminal work by Domínguez and Lobato (2004) proposed a consistent estimation method for conditional moment restrictions, which does not rely on additional identification assumptions as in the GMM estimator using unconditional moments and is free from any userchosen number. Their methodology is further extended by Domínguez and Lobato (2015, 2020) for consistent specification testing of conditional moment restrictions, which may involve generated variables. We follow up this literature and derive the asymptotic distribution of Domínguez and Lobato's (2004) estimator that involves generated variables. Our simulation result illustrates that ignoring proxy errors in the generated variables may cause severer distortions for the coverage or size properties of statistical inference on parameters.
 
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Language
英語  
Type of resource
text  
Genre
Technical Report  
Text version
publisher  
131.113.194.249
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Last modified date
Jan 19, 2022 10:56:52  
Creation date
Jan 19, 2022 10:54:57  
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Jan 19, 2022    インデックス を変更
Jan 19, 2022    Creator Link,Creator Name,Creator Kana,Edition 版,Place 場所,Publisher Name,Publisher Kana を変更
 
Index
/ Public / Keio Economic Observatory(KEO) / KEO discussion paper / 101-149, 152, 155-156, 158-162, 164-168, 170
 
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