Efficiency Improvement by Local Moments in Grouped Data Analysis

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概要

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• This paper proposes an efficient density estimation method for analyzinggrouped data when local moments are given. We use the generalized method of moments (GMM) estimator of Hansen (1982) to incorporate the information contained in the local moments. We show that our estimator is more efficient than the classical maximum likelihood estimator for grouped data. We also construct a specification test statistic based on moment conditions. Monte Carlo experiments suggest that our estimatorperforms remarkably well and the specification test has good size propertieseven in finite samples.

• Kyoto Universityの論文

著者

• Liu Qing-feng

  Kyoto University

• Hitomi Kohtaro

  Kyoto Institute of Technology

• Nishiyama Yoshihiko

  Kyoto University

• Sueishi Naoya

  University of Wisconsin-Madison

関連論文

• EFFICIENT ESTIMATION AND MODEL SELECTION FOR GROUPED DATA WITH LOCAL MOMENTS
• Efficiency Improvement by Local Moments in Grouped Data Analysis
• EFFICIENT ESTIMATION AND MODEL SELECTION FOR GROUPED DATA WITH LOCAL MOMENTS
• EFFICIENT ESTIMATION AND MODEL SELECTION FOR GROUPED DATA WITH LOCAL MOMENTS

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