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Item Type Article
ID
AA10715861-00000164-0001  
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AA10715861-00000164-0001.pdf
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Last updated :Oct 16, 2023
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Title
Title Inference on conditional moment restriction models with generated variables  
Kana  
Romanization  
Other Title
Title  
Kana  
Romanization  
Creator
Name Kimoto, Ryo  
Kana  
Romanization  
Affiliation Department of Economics, The Pennsylvania State University  
Affiliation (Translated)  
Role  
Link  

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  
Role  
Link  
Edition
 
Place
Tokyo  
Publisher
Name Keio Economic Observatory Sangyo Kenkyujo  
Kana  
Romanization  
Date
Issued (from:yyyy) 2022  
Issued (to:yyyy)  
Created (yyyy-mm-dd)  
Updated (yyyy-mm-dd)  
Captured (yyyy-mm-dd)  
Physical description
8 p.  
Source Title
Name KEO discussion paper  
Name (Translated)  
Volume  
Issue 164  
Year 2022  
Month 1  
Start page  
End page  
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ISBN
 
DOI
URI
JaLCDOI
10.14991/004.00000164-0001
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Date of granted  
Degree name  
Degree grantor  
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  
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Technical Report  
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Last modified date
Oct 16, 2023 14:18:29  
Creation date
Jan 19, 2022 10:54:57  
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History
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
Oct 16, 2023    JaLCDOI を変更
 
Index
/ Public / Keio Economic Observatory(KEO) / KEO discussion paper / 101-102, 104-108, 110-119, 121-144, 147-149, 152, 155-156, 158-162, 164-168, 170, 173, 175, 177-178
 
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