EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
复制标题
错误指定 I.I.D 中的有效矩量法
DOI：
--
复制
发表时间：
2004
影响因子：
0.8
通讯作者：
Manuel Dom nguez Toribio
中科院分区：
文献类型：
--
作者：
VÃctor Aguirre;Manuel Dom nguez Toribio
本文介绍了渐近理论的有效的矩量法时，没有正确指定的模型的兴趣。本文假设一个独立同分布的观测序列和一个全局误设定。研究发现，估计量的极限分布仍然是渐近正态的，但它受到了很大的影响，在协方差矩阵。这个协方差矩阵的一致估计。同时也得到了估计矩函数的大样本分布。这些结果被用来讨论的情况下，时刻条件成立，但模型是错误的。当极限矩函数不为零时，过识别约束检验具有渐近幂1。它还证明了自举分布几乎必然收敛到前面提到的分布，因此，它们可以被用来作为一种替代下误指定推断。有趣的是，它也表明，引导可以可靠地应用，即使引导复制的数量是非常小的。感谢他的支持和关于这个话题的有益讨论。他们还感谢Donald Andrews教授的修订，以及建议阅读Hall和Inoue（2003年）的著作。他们感谢霍尔和井上给他们寄来技术报告。最后，作者感谢两位匿名的参考者，他们的有益的意见，这导致了显着的改进文件。本文中表达的观点由我们全权负责。Víctor Aguirre-Torres感谢墨西哥文化协会的部分支持。曼努埃尔·A Domínguez感谢国家科学技术委员会的资助，研究项目J38076-D，以及墨西哥文化协会的部分支持。
The paper presents the asymptotic theory of the efficient method of moments when the model of interest is not correctly specified. The paper assumes a sequence of independent and identically distributed observations and a global misspecification. It is found that the limiting distribution of the estimator is still asymptotically normal, but it suffers a strong impact in the covariance matrix. A consistent estimator of this covariance matrix is provided. The large sample distribution on the estimated moment function is also obtained. These results are used to discuss the situation when the moment conditions hold but the model is misspecified. It also is shown that the overidentifying restrictions test has asymptotic power one whenever the limit moment function is different from zero. It is also proved that the bootstrap distributions converge almost surely to the previously mentioned distributions and hence they could be used as an alternative to draw inferences under misspecification. Interestingly, it is also shown that bootstrap can be reliably applied even if the number of bootstrap replications is very small.The authors express their gratitude to Professor A.R. Gallant for his support and for helpful discussions about this topic. They also thank Professor Donald Andrews for his revision and for the suggestion to read the work by Hall and Inoue (2003). They thank Hall and Inoue for sending them their technical report. Finally the authors thank two anonymous referees for their helpful comments, which led to a significant improvement of the paper. The views expressed in this paper are our sole responsibility. Víctor Aguirre-Torres acknowledges partial support from the Asociación Mexicana de la Cultura A.C. Manuel A. Domínguez acknowledges funding from CONACYT, research project J38076-D, and partial support from Asociación Mexicana de la Cultura A.C.