Relevant Moment Selection under Mixed Identification Strength

Firmin Doko Tchatoka

<p>This paper proposes a robust moment selection method aiming to pick the best model even if this is a moment condition model with mixed identification strength. That is, moment conditions including moment functions that are local to zero uniformly over the parameter set. We show that the relevant moment selection procedure of Hall et al. (2007) is inconsistent in this setting as it does not explicitly account for the rate of convergence of parameter estimation of the candidate models which may vary. We introduce a new moment selection procedure based on a criterion that automatically accounts for both the convergence rate of the candidate model&rsquo;s parameter estimate and the entropy of the estimator&rsquo;s asymptotic distribution. The benchmark estimator that we consider is the two-step efficient generalized method of moments (GMM) estimator which is known to be efficient in this framework as well. A family of penalization functions is introduced that guarantees the consistency of the selection procedure. The finite sample performance of the proposed method is assessed through Monte Carlo simulations.<br /> &nbsp;</p> <p class="MsoNormal" style="margin: 0cm 0cm 0pt"><span style="font-family: 宋体; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 宋体; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin">演讲嘉宾线上进行讲座，预约成功的同学请到经济楼</span><span lang="EN-US"><font face="Calibri">N302</font></span><span style="font-family: 宋体; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 宋体; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin">观看，其他师生也可以选择线上参加，参会方式将以邮件形式发送给师生。</span><span lang="EN-US"><o:p></o:p></span></p>

2021-05-08(Saturday)16:40-18:00

Room N302, Economics Building

English

厦门大学经济学院、王亚南经济研究院

厦门大学经济学院、王亚南经济研究院

系列讲座

Andrew Pua

<p>Dr. Firmin Doko Tchatoka is now an Associate Professor from School of Economics, The University of Adelaide (UoA). His research interest includes Econometrics, Statistics, Financial Econometrics, Networks econometrics and Big Data, Policy Evaluation Methods.</p>

高级计量经济学与统计学系列第131讲