CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS

2011 ◽  
Vol 28 (2) ◽  
pp. 309-327 ◽  
Author(s):  
Neşe Yildiz

This paper studies the problem of estimating the set of finite-dimensional parameter values defined by a finite number of moment inequality or equality conditions and gives conditions under which the estimator defined by the set of parameter values that satisfy the estimated versions of these conditions is consistent in Hausdorff metric. This paper also suggests extremum estimators that with probability approaching 1 agree with the set consisting of parameter values that satisfy the sample versions of the moment conditions. In particular, it is shown that the set of minimizers of the sample generalized method of moments (GMM) objective function is consistent for the set of minimizers of the population GMM objective function in Hausdorff metric.

2019 ◽  
Vol 36 (3) ◽  
pp. 488-525
Author(s):  
Saraswata Chaudhuri

Cost-effective survey methods such as multi(R)-phase sampling typically generate samples that are collections of monotonic subsamples, i.e., the variables observed for the units in subsample r are also observed for the units in subsample r + 1 for r = 1,…,R – 1. These subsamples represent subpopulations that can be systematically different if the selection of a unit in each phase of sampling depends on the observed variables for that unit from past phases. Our article is about optimally combining all the subsamples for the efficient estimation of a finite dimensional parameter defined by moment restrictions on a generic target population that is an arbitrary union of these subpopulations. Only the R-th subsample is assumed to contain all the variables that are arguments of the moment function. Semiparametric efficiency bounds for estimation are obtained under a unified framework, allowing for full generality of the selection on observables in the sampling design. Contribution of each subsample toward efficient estimation is analyzed; and this turns out to differ fundamentally from that in setups where the same collection of subsamples is instead generated unplanned by unknown sampling. Uniquely, our setup enables all the subsamples to contribute to the efficient estimation for all the target populations, which we show is not possible in other setups. Efficient estimation is standard. Simulation evidence of substantive efficiency gains from using all the subsamples is provided for all the targets.


2000 ◽  
Vol 16 (6) ◽  
pp. 797-834 ◽  
Author(s):  
Marine Carrasco ◽  
Jean-Pierre Florens

This paper proposes a version of the generalized method of moments procedure that handles both the case where the number of moment conditions is finite and the case where there is a continuum of moment conditions. Typically, the moment conditions are indexed by an index parameter that takes its values in an interval. The objective function to minimize is then the norm of the moment conditions in a Hilbert space. The estimator is shown to be consistent and asymptotically normal. The optimal estimator is obtained by minimizing the norm of the moment conditions in the reproducing kernel Hilbert space associated with the covariance. We show an easy way to calculate this estimator. Finally, we study properties of a specification test using overidentifying restrictions. Results of this paper are useful in many instances where a continuum of moment conditions arises. Examples include efficient estimation of continuous time regression models, cross-sectional models that satisfy conditional moment restrictions, and scalar diffusion processes.


2003 ◽  
Vol 40 (04) ◽  
pp. 839-854 ◽  
Author(s):  
Serik Sagitov

The general coalescent process with simultaneous multiple mergers of ancestral lines was initially characterized by Möhle and Sagitov (2001) in terms of a sequence of measures defined on the finite-dimensional simplices. A more compact characterization of the general coalescent requiring a single probability measure Ξ defined on the infinite simplex Δ was suggested by Schweinsberg (2000). This paper presents a simple criterion of weak convergence to the Ξ-coalescent. In contrast to the earlier criterion of Möhle and Sagitov (2001) based on the moment conditions, the key condition here is expressed in terms of the joint distribution of the ranked offspring sizes. This criterion interprets a vector in Δ as the ranked fractions of the total population size assigned to sibling groups constituting a (rare) generation, where a merger might occur. An example of the general coalescent is developed on the basis of the Poisson–Dirichlet distribution. It suggests a simple algorithm of simulating the Kingman coalescent with occasional (simultaneous) multiple mergers.


2002 ◽  
Vol 18 (2) ◽  
pp. 531-539 ◽  
Author(s):  
Hailong Qian

In this paper, we first transform a set of moment conditions into a set of transformed moment conditions, based on which the efficient partial generalized method of moments estimation for part of a parameter vector is defined. Given the set of transformed moment conditions, we then show that the conditions for partial redundancy of an additional set of moment conditions given an original set of moment conditions simply become the conditions for full redundancy of the second subset of transformed moment conditions given the first subset of transformed moment conditions. Thus the transformed moment conditions proposed in this paper unify partial redundancy of moment conditions with full redundancy of moment conditions. Using transformed moment conditions, we then straightforwardly derive necessary and sufficient conditions for partial redundancy of one or two subset(s) of moment conditions given the other when the large set of moment conditions consists of three subsets of moment conditions. The paper also provides several easily checkable sufficient conditions for partial redundancy of one set of moment conditions given other sets of moment conditions.


1996 ◽  
Vol 12 (4) ◽  
pp. 657-681 ◽  
Author(s):  
A. Ronald Gallant ◽  
George Tauchen

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.


2003 ◽  
Vol 40 (4) ◽  
pp. 839-854 ◽  
Author(s):  
Serik Sagitov

The general coalescent process with simultaneous multiple mergers of ancestral lines was initially characterized by Möhle and Sagitov (2001) in terms of a sequence of measures defined on the finite-dimensional simplices. A more compact characterization of the general coalescent requiring a single probability measure Ξ defined on the infinite simplex Δ was suggested by Schweinsberg (2000). This paper presents a simple criterion of weak convergence to the Ξ-coalescent. In contrast to the earlier criterion of Möhle and Sagitov (2001) based on the moment conditions, the key condition here is expressed in terms of the joint distribution of the ranked offspring sizes. This criterion interprets a vector in Δ as the ranked fractions of the total population size assigned to sibling groups constituting a (rare) generation, where a merger might occur. An example of the general coalescent is developed on the basis of the Poisson–Dirichlet distribution. It suggests a simple algorithm of simulating the Kingman coalescent with occasional (simultaneous) multiple mergers.


Author(s):  
Леонид Аркадьевич Минин ◽  
Евгений Геннадьевич Супонев ◽  
Евгений Александрович Киселев

В данной работе производится обобщение метода моментов, предложенного в одной из недавних статей для моделирования зубцов электрокардиограммы комплексами из нескольких функций Гаусса. Цель заключалась в том, чтобы сделать метод применимым для функций более общего вида, сохранив простоту его программной реализации. Для этого был проведен ряд математических преобразований в общем виде и получены достаточно простые соотношения для вычисления параметров модельного сигнала. Это дает возможность применять для аппроксимации участков сигналов функции разнообразного вида, продиктованные их физической моделью. Единственным ограничением для используемых функций является существование необходимого количества моментов, а момент нулевого порядка должен быть отличен от нуля. В данной работе продемонстрировано несколько примеров реализации обобщенного метода моментов. Показано, что на практике в зависимости от вида используемой для моделирования функции возникает ряд вычислительных особенностей, касающихся точности метода и его устойчивости по отношению к шуму. Полученные результаты могут быть полезны для разработки новых эффективных моделей биомедицинских сигналов, атомных и ядерных спектров, а также иных типов сигналов, имеющих локальные особенности в форме пиков. In this paper a generalization of the method of moments which was proposed in a recent article for modeling electrocardiogram waves with sets of several Gauss functions is performed. The purpose is to make the method applicable to functions of a more general form, while maintaining the simplicity of its program implementation. For this a series of mathematical transformations were carried out in a general form and sufficiently simple relations were obtained for calculating the parameters of the model signal. This makes it possible to use functions of various types for the approximation of signal regions, dictated by their physical model. The only restriction for the functions used is the existence of the required number of moments, and the moment of zero order must be different from zero. This paper demonstrates several examples of the implementation of the generalized method of moments. It is shown that in practice, depending on the type of function used for modeling, a number of computational features arise concerning the accuracy of the method and its stability with respect to noise. Obtained results can be useful for developing new effective models of biomedical signals, atomic and nuclear spectra, as well as other types of signals that have peak shaped local features.


2017 ◽  
Vol 34 (4) ◽  
pp. 790-814 ◽  
Author(s):  
Ji Hyung Lee ◽  
Zhipeng Liao

This paper studies the GMM estimation and inference problem that occurs when the Jacobian of the moment conditions is rank deficient of known forms at the true parameter values. Dovonon and Renault (2013) recently raised a local identification issue stemming from this type of degenerate Jacobian. The local identification issue leads to a slow rate of convergence of the GMM estimator and a nonstandard asymptotic distribution of the over-identification test statistics. We show that the known form of rank-deficient Jacobian matrix contains nontrivial information about the economic model. By exploiting such information in estimation, we provide GMM estimator and over-identification tests with standard properties. The main theory developed in this paper is applied to the estimation of and inference about the common conditionally heteroskedastic (CH) features in asset returns. The performances of the newly proposed GMM estimators and over-identification tests are investigated under the similar simulation designs used in Dovonon and Renault (2013).


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