- Author
- Title
- Accuracy of method of moments based inference
- Supervisors
- Co-supervisors
- Award date
- 7 September 2017
- Number of pages
- 203
- ISBN
- 978 90 3610 486 9
- Document type
- PhD thesis
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- Abstract
-
The generalized method of moments (GMM) is an extremely popular estimation technique in empirical work, since achieving asymptotically valid and efficient inference relies on only a small set of assumptions being satisfied. The first part of this thesis is concerned with mostly standard GMM based inference in linear dynamic micro panel data models, where the accuracy of asymptotic approximations to the properties of different inferential procedures is examined in the context of a comprehensive simulation design. Next, the analysis extends to implementing weak identification-robust coefficient restriction tests, while allowing the weighting matrix to be based on either centered or uncentered moments. Closely related to weak identification is the issue of underidentification, which is discussed in the final part of this thesis. By simulation the properties of different rank statistics are evaluated in the context of the cross-sectional instrumental variables model.
- Note
- Tinbergen Institute research series no. 698.
Please note that the acknowledgements section is not included in the thesis download. - Persistent Identifier
- https://hdl.handle.net/11245.1/1aebbaa0-5caa-4f4c-b3d2-47a823f7aa7a
- Downloads
Disclaimer/Complaints regulations
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.