Hansen 和 Singleton 使用一个恒定的相对风险厌恶效用函数U(c)=\frac{c^{\gamma}-1}{\gamma},因此优化问题的一阶条件是E\left[\beta\left(\frac{c_{t+1}}{c_{t}}\right)^{\gamma} \frac{r_{t+1}}{p_{t}} | \Omega_{t}\right]=0,这个看起来像一个母体矩条件但是目前的问题是我们有两个...
非参的函数估计的优点在于稳健,对模型没有什么特定的假设,只是认为函数光滑,避免了模型选择带来的风险;但是,表达式复杂,难以解释,计算量大是非参的一个很大的毛病。所以说使用非参有风险,选择需谨慎。核密度估计(kernel density estimation)是在概率论中用来估计未知的密度函数,属于非参数检验方法之一,由Rosenbla...
This paper compares least squares (LS)/maximum likelihood (ML) and generalised method of moments (GMM) estimation in a simple. Gaussian autoregressive of order one (AR(1)) model. First, we show that the usual LS/ML estimator is a corner solution to a general minimisation problem that ...
Hansen L P, Singleton K J. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models[J]. Econometrica, 1982,50(5):1269-1286.Hansen L P, Heaton J, Yaron A. Finite-Sample Properties of Some Alternative GMM Estimators[J]. Journal of Business & Economic Statistics, ...
The order of computing the two estimators may be reversed. You have to be careful though to specify to hausman the models in the order "always consistent" first and "efficient under H0" second. It is possible to skip storing the second model and refer to the last estimation results by a...
GMMpanel dataover-identifying restriction testThis paper proposes new over-identifying restriction tests in the generalized method of moments (GMM) estimation of panel data models. In contrast to the convendoi:10.2139/ssrn.2250624Kazuhiko Hayakawa...
The MODEL ProcedureOLS Estimation SummaryData Set OptionsDATA=SASHELP.CITIMONMinimization SummaryParameters Estimated3MethodGaussIterations10Final Convergence CriteriaR0.000737PPC(b)0.003943RPC(b)0.00968Objec 7、t4.784E-6Trace(S)0.533325Objective Value0.522214Observations ProcessedRead145Solved145Used144Missing1...
1 GMM方法的介绍 2 背景 GMM方法由Hansen(1982)提出，已经成为计量经济和金融等领域一个重要的研究方法和极大似然估计(MLE)相比，GMM方法不需要对模型的分布做任何假定。在一些情况下，GMM方法也比MLE计算方便 3 单个方程的线性GMM 考虑线性回归模型 ytzt0tt1,,n(1.1)其...
1995. "Another Look at the Instrumental Variable Estimation of Error- Components Models. " Journal of Econometrics,68( 1 ) :29 - 51. Blundell, R. , and S. Bond. 1998. " Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. " Journal of Econometrics,87 ( 1 ) : 115...
Small-Sample Bias in GMM Estimation of Covariance Structures We examine the small-sample properties of the generalized method of moments estimator applied to models of covariance structures, in which case it is commo... JG Altonji,LM Segal - Taylor & Francis Group 被引量: 0发表: 1996年 Small...