Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspeci…cation
Year: 2015
Type: preprint
Abstract: This paper studies the averaging generalized method of moments (GMM) estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspeci…ed moment conditions, where the weight is the sample analog of an infeasible optimal weight. It is an alternative to pre-test estimators that switch between the conservative and agressive estimators based on model speci…cation tests. This averaging estimator is robust in the sense that it uniformly dominates the conservative estimator by reducing the risk under any degree of misspeci…cation, whereas the pre-test estimators reduce the risk in parts of the parameter space and increase it in other parts. To establish uniform dominance of one estimator over another, we establish asymp
Source: SSRN Electronic Journal
Authors: Xu Cheng, Zhipeng Liao, Ruoyao Shi
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2184833305