Corrected standard errors for optimal minimum distance estimator
| Autor: | Kazuhiko Hayakawa |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Shrinkage estimator
Economics and Econometrics Mean squared error 05 social sciences Trimmed estimator Minimum-variance unbiased estimator Efficient estimator Bias of an estimator 0502 economics and business Statistics Consistent estimator Stein's unbiased risk estimate 050207 economics Finance 050205 econometrics Mathematics |
| Zdroj: | Kazuhiko Hayakawa |
| ISSN: | 0165-1765 |
| DOI: | 10.1016/j.econlet.2018.02.029 |
| Popis: | This paper compares three types of standard errors for optimal minimum distance (OMD) estimator where the structural parameter is recovered from the reduced form parameters estimated by a two-step GMM estimator. We demonstrate that the naive standard errors are severely biased and cause over-rejection, while the OMD estimator based on the bias-corrected variance matrix by Windmeijer (2005) and newly derived variance estimator yield much more accurate inference. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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