Matches in SemOpenAlex for { <https://semopenalex.org/work/W66406761> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W66406761 abstract "It has been shown in Section 6.3 that a GMM estimator attains the semiparametric efficiency bound (5.3.11) for given conditional moment functions if the instruments are chosen optimally. For the case of strict exogeneity, these optimal instruments were given in (5.3.12) as B(X)=D0′Ω 0 -1 , ignoring the transformation matrix F, with D0 = E[∂ρ (Z,θ0)/∂θ′|X] and Ω0 = E[ρ (Z,θ0)ρ (Z,θ0)′|X].32 For the derivation of the lower efficiency bound it has been assumed that the conditional probability density function of Y depends on the parameters of interest, θ , and possibly on additional parameters, η . In the current section this dependence is explicitly taken into account by writing D(X,τ) and Ω(X,τ) with τ = (θ′,η′)′ , hence D0 = D(X,τ0) and Ω0 = Ω(X,τ0). Note that the conditional expectations are usually functions of X which justifies these expressions. Obviously, the optimal instruments are not available and have to be estimated in order to obtain a feasible GMM estimator. Two estimation strategies can be distinguished and will be discussed throughout this chapter. The first strategy, presented in this section, rests on substituting the unknown τ0 with some consistent first step estimator ( hat tau ). Assuming that the functional form of D0 and Ω0 is known, estimators of the unknown conditional expectations follow from ( Dleft( X right) = Dleft( {X,hat tau } right) ) and ( hat Omega left( X right) = Omega left( {X,hat tau } right) ). The second estimation strategy, which will be discussed throughout the Sections 8.2 − 8.5, rests on an application of nonparametric estimation techniques to obtain the estimators ( hat Dleft( X right) ) and ( hat Omega left( X right) ) of D0 and Ω0." @default.
- W66406761 created "2016-06-24" @default.
- W66406761 creator A5048924269 @default.
- W66406761 date "2001-01-01" @default.
- W66406761 modified "2023-09-25" @default.
- W66406761 title "GMM Estimation with Optimal Instruments" @default.
- W66406761 doi "https://doi.org/10.1007/978-3-642-56571-7_8" @default.
- W66406761 hasPublicationYear "2001" @default.
- W66406761 type Work @default.
- W66406761 sameAs 66406761 @default.
- W66406761 citedByCount "0" @default.
- W66406761 crossrefType "book-chapter" @default.
- W66406761 hasAuthorship W66406761A5048924269 @default.
- W66406761 hasConcept C104317684 @default.
- W66406761 hasConcept C105795698 @default.
- W66406761 hasConcept C111919701 @default.
- W66406761 hasConcept C114614502 @default.
- W66406761 hasConcept C121332964 @default.
- W66406761 hasConcept C134306372 @default.
- W66406761 hasConcept C14036430 @default.
- W66406761 hasConcept C149782125 @default.
- W66406761 hasConcept C179254644 @default.
- W66406761 hasConcept C185429906 @default.
- W66406761 hasConcept C185592680 @default.
- W66406761 hasConcept C186215838 @default.
- W66406761 hasConcept C204241405 @default.
- W66406761 hasConcept C2779557605 @default.
- W66406761 hasConcept C2780129039 @default.
- W66406761 hasConcept C33923547 @default.
- W66406761 hasConcept C41008148 @default.
- W66406761 hasConcept C43555835 @default.
- W66406761 hasConcept C55493867 @default.
- W66406761 hasConcept C610760 @default.
- W66406761 hasConcept C62520636 @default.
- W66406761 hasConcept C74650414 @default.
- W66406761 hasConcept C77553402 @default.
- W66406761 hasConcept C78458016 @default.
- W66406761 hasConcept C86803240 @default.
- W66406761 hasConceptScore W66406761C104317684 @default.
- W66406761 hasConceptScore W66406761C105795698 @default.
- W66406761 hasConceptScore W66406761C111919701 @default.
- W66406761 hasConceptScore W66406761C114614502 @default.
- W66406761 hasConceptScore W66406761C121332964 @default.
- W66406761 hasConceptScore W66406761C134306372 @default.
- W66406761 hasConceptScore W66406761C14036430 @default.
- W66406761 hasConceptScore W66406761C149782125 @default.
- W66406761 hasConceptScore W66406761C179254644 @default.
- W66406761 hasConceptScore W66406761C185429906 @default.
- W66406761 hasConceptScore W66406761C185592680 @default.
- W66406761 hasConceptScore W66406761C186215838 @default.
- W66406761 hasConceptScore W66406761C204241405 @default.
- W66406761 hasConceptScore W66406761C2779557605 @default.
- W66406761 hasConceptScore W66406761C2780129039 @default.
- W66406761 hasConceptScore W66406761C33923547 @default.
- W66406761 hasConceptScore W66406761C41008148 @default.
- W66406761 hasConceptScore W66406761C43555835 @default.
- W66406761 hasConceptScore W66406761C55493867 @default.
- W66406761 hasConceptScore W66406761C610760 @default.
- W66406761 hasConceptScore W66406761C62520636 @default.
- W66406761 hasConceptScore W66406761C74650414 @default.
- W66406761 hasConceptScore W66406761C77553402 @default.
- W66406761 hasConceptScore W66406761C78458016 @default.
- W66406761 hasConceptScore W66406761C86803240 @default.
- W66406761 hasLocation W664067611 @default.
- W66406761 hasOpenAccess W66406761 @default.
- W66406761 hasPrimaryLocation W664067611 @default.
- W66406761 hasRelatedWork W1555033159 @default.
- W66406761 hasRelatedWork W1584530303 @default.
- W66406761 hasRelatedWork W1884631289 @default.
- W66406761 hasRelatedWork W1974525025 @default.
- W66406761 hasRelatedWork W2008533817 @default.
- W66406761 hasRelatedWork W2017291972 @default.
- W66406761 hasRelatedWork W2021764300 @default.
- W66406761 hasRelatedWork W2024554257 @default.
- W66406761 hasRelatedWork W2078103406 @default.
- W66406761 hasRelatedWork W2102585913 @default.
- W66406761 hasRelatedWork W2263092151 @default.
- W66406761 hasRelatedWork W2394925164 @default.
- W66406761 hasRelatedWork W2494241271 @default.
- W66406761 hasRelatedWork W2496357340 @default.
- W66406761 hasRelatedWork W2600289881 @default.
- W66406761 hasRelatedWork W3043175749 @default.
- W66406761 hasRelatedWork W3122005730 @default.
- W66406761 hasRelatedWork W3123418458 @default.
- W66406761 hasRelatedWork W3138935769 @default.
- W66406761 hasRelatedWork W590507843 @default.
- W66406761 isParatext "false" @default.
- W66406761 isRetracted "false" @default.
- W66406761 magId "66406761" @default.
- W66406761 workType "book-chapter" @default.