Continuously Updating GMM in Linear IV Models: A Polynomial Approach
线性IV模型中持续更新GMM的多项式方法AI 解读 ↓
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线性IV模型中持续更新GMM的多项式方法AI 解读 ↓
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This paper characterizes the global minimum of the continuously updating generalized method of moments (CU-GMM) objective in linear instrumental variables models. We allow optimal weighting matrices under heteroskedasticity, autocorrelation, or clustering. We show that the objective is a ratio of polynomials. For one endogenous regressor, stationary points of CU-GMM objective function are real eigenvalues of a companion matrix. Comparing their objective values with the value at infinity gives the global minimum, extending the classical eigenvector approach to limited information maximum likelihood. With multiple endogenous regressors, algebraic elimination and checks for real solutions identify the minimum among finitely many candidate objective values, including boundary values. Galois theory rules out general formulas by radicals even with one endogenous regressor and two instruments, while numerical root finding remains possible. Finding the global minimum allows us to compute overidentification and likelihood ratio tests, including the conditional likelihood ratio (CLR) test.
准贝叶斯局部投影:同时推断及工具变量扩展
Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated posteriors. We propose a quasi-Bayesian method based on the Laplace-type estimator, where a quasi-likelihood is constructed using a generalized method of moments criterion. This approach avoids strict distributional assumptions, ensures…
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For the linear model with a single endogenous variable, (Montiel Olea and Pflueger 2013) proposed the effective F-statistic as a test for weak instruments in terms of the Nagar bias of the two-stage least squares (2SLS) or limited information maximum likelihood (LIML) estimator relative to a benchmark worst-case bias. We show that their methodology for the 2SLS estimator applies to a class of linear generalized method of moments (GMM) estimators with an associated class of…
使用非线性筛方法推断时间序列非参数条件矩限制
This paper studies estimation of and inference on dynamic nonparametric conditional moment restrictions of high dimensional variables for weakly dependent data, where the unknown functions of endogenous variables can be approximated via nonlinear sieves such as neural networks and Gaussian radial bases. The true unknown functions and their sieve approximations are allowed to be in general weighted function spaces with unbounded supports, which is important for time series…
使用一般筛法推断时间序列非参数条件矩约束
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear sieves (or series). This paper considers general nonlinear sieve quasi-likelihood ratio (GN-QLR) based inference on expectation functionals of time series data, where the functionals of interest are based on some nonparametric function that satisfy conditional moment restrictions and are learned using…
Summary Linear generalised method of moments (GMM) estimators for dynamic panel models with predetermined or endogenous regressors suffer from a weak instruments problem when the data are highly persistent. In this paper, we propose new random- and fixed-effects limited-information quasi–maximum likelihood estimators (LIQMLEs) for such models. We also discuss LIQMLEs for models that contain time-varying individual effects. Unlike system GMM estimators, the LIQMLEs do not…
非参数分位数工具变量回归加权平均导数的惩罚筛广义经验似然
This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is no published work on the asymptotic properties of any estimator of its WAD. We first characterize the semiparametric efficiency bound for a WAD of a NPQIV, which, unfortunately, depends on an unknown conditional derivative…