Consistent Parameter Estimation for Conditional Moment Restrictions
2008/04/04
研討會日期 : 2008-04-04
時間 : 15:00
主講人 : 徐士勛
地點 : B棟110室
演講者簡介 : Dr. Hsu, Shih-Hsun為Ph.D. Economics，National Taiwan University (2006)。
其主要研究領域為計量經濟理論、時間序列分析、總體經濟預測及應用計量。
演講摘要 : In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified. In this paper, we consider a continuum of unconditional moments that are equivalent to the postulated conditional moments and can identify the parameters of interest. We propose to project these unconditional moments along the exponential Fourier series and construct an objective function based on the resulting Fourier coefficients. A novel feature of our method is that the full continuum of unconditional moments is incorporate into each Fourier coefficient. We show that, when the number of Fourier coefficients in the objective function grows at a proper rate, the proposed estimator is consistent and asymptotically normally distributed. Our simulations confirm that the proposed estimator compares favorably with that of Dom’inguez and Lobato (2004, Econometrica) in terms of bias, standard error and mean squared error. For models with exogenous regressors, the proposed estimator may also outperform the nonlinear least squares estimator when there are multiple local minima.
