THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
多期条件矩限制下最优非线性工具变量的形式AI 解读 ↓
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多期条件矩限制下最优非线性工具变量的形式
- 研究问题
- 存在条件异方差时，多期条件矩限制系统中的最优非线性工具变量具有什么形式，其辅助参数能否显式求解？
- 方法与思路
- 作者依据 GMM 效率界理论，将最优工具变量写成由少数辅助过程参数化的自回归递推，并施加非线性随机限制。
- 材料陈述的贡献
- 摘要称，论文刻画了最优工具变量的递推形式与辅助过程的稳定性限制，同时指出一般无法求得显式辅助参数解。
- 阅读关注点
- 应核对效率最优的比较范围、多期依赖结构、辅助过程的定义和稳定性条件，以及隐式表征能否转化为可行计算。
- 阅读边界
- 所给出版社摘要未说明完整矩条件、可实施算法或有限样本效率；理论形式的刻画本身不保证估计程序可直接使用。
原文摘要
We present the form of the optimal instrument in a system of multiperiod conditional moment restrictions in the presence of conditional heteroskedasticity. Using Hansen's (1985, Journal of Econometrics 30, 203–228) and Hansen, Heaton, and Ogaki's (1988, Journal of the American Statistical Association 83, 863–871) work on efficiency bounds for generalized method of moments estimators, we show that this form is an autoregressive recurrence parametrized by a few auxiliary processes that are defined through a system of nonlinear stochastic restrictions, with a stability condition among them. In general, the system does not allow inversion and obtaining an explicit solution for the auxiliary parameters.This is a part of my Ph.D. dissertation (Anatolyev, 2000). I am grateful to Kenneth West for introducing me to the subject and providing advice and encouragement. I also thank Bruce Hansen, Yuichi Kitamura, seminar participants at Indiana University, Pennsylvania State University, Rutgers University, University of British Columbia, University of Virginia, and University of Wisconsin, the co-editor Richard Smith, and two referees for helpful comments and suggestions. Research for this paper was supported in part by a fellowship from the Economics Education and Research Consortium, with funds provided by the government of Sweden through the Eurasia Foundation. The opinions expressed in this paper are those of the author and do not necessarily reflect the views of the government of Sweden, the Eurasia Foundation, or any other member of the Economics Education and Research Consortium.