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http://hdl.handle.net/10419/64723
  
Title:GEL methods for nonsmooth moment indicators PDF Logo
Authors:Parente, Paulo
Smith, Richard J.
Issue Date:2008
Series/Report no.:cemmap working paper CWP19/08
Abstract:This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in finite samples. These include EL, ET and the CUE. This paper also establishes the validity of tests suggested in the smooth moment indicators case for over-identifying restrictions and specification. In particular, a number of these tests avoid the necessity of providing an estimator for the Jacobian matrix which may be problematic for the sample sizes typically encountered in practice.
Subjects:Non-Smooth Moment Indicators
Overidentifying Moments
Parametric Restrictions
Additional Moment Restrictions
JEL:C13
C30
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2008.1908
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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