The indirect continuous-GMM estimation
نویسنده
چکیده
A curse of dimensionality arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high dimensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced information set can be used to produce a consistent estimator of the parameter of interest. An indirect CGMM estimator is obtained by optimally aggregating all such consistent estimators. The simulation results suggest that the indirect CGMM procedure makes an e¢cient use of the information content of moment restrictions.
منابع مشابه
Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen, Heaton, and Yaron (1996) is in principle able to reduce the small-sample bias, but it involves high-dime...
متن کاملStatistical estimation of unreliable features for robust speech recognition
This paper addresses the problem of robust speech recognition in noisy conditions in the framework of hidden Markov models (HMMs) and missing feature techniques. It presents a new statistical approach to detection and estimation of unreliable features based on a probabilistic measure and Gaussian mixture model (GMM). In the estimation process, the GMM is compensated using parameters of the stat...
متن کاملThe Generalized Method of Moments Estimation
11 THE GMM ESTIMATION 2 11.1 Consistency and Asymptotic Normality . . . . . . . . . . . . . . . . . . . . . 3 11.2 Regularity Conditions and Identification . . . . . . . . . . . . . . . . . . . . . 4 11.3 The GMM Interpretation of the OLS Estimation . . . . . . . . . . . . . . . . . 5 11.4 The GMM Interpretation of the MLE . . . . . . . . . . . . . . . . . . . . . . . 6 11.5 The GMM Estimation ...
متن کاملEmpirical Likelihood Estimation of Continuous-Time Models With Conditional Moment Restrictions
The EL estimators have some favorable higher order asymptotic properties. We extend the EL method proposed by Donald et al. (2003) to estimate non-i:i:d: continuous-time models with the known functional form of the conditional characteristic function. In many cases even the MLE method can not be performed, the EL method can do. More over, not only does the EL method resolve the problem of covar...
متن کاملProbability Density Estimation via Infinite Gaussian Mixture Model: Application to Statistical Process Monitoring
The primary goal of multivariate statistical process performance monitoring is to identify deviations from normal operation within a manufacturing process. The basis of the monitoring schemes is historical data that has been collected when the process is running under normal operating conditions. This data is then used to establish confidence bounds to detect the onset of process deviations. In...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 76 شماره
صفحات -
تاریخ انتشار 2014