Conditional Moment Estimation of Nonlinear Equation Systems: With an Application to an Oligopoly Model of Cooperative R&D

ISBN-13: 9783540412076 / Angielski / Miękka / 2000 / 214 str.

Joachim Inkmann

Opis

This is an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large and small sample properties of conditional moment estimators and provides an application to empirical industrial organization.

Spis treści

1 Introduction.- I: Estimation Theory.- 2 The Conditional Moment Approach to GMM Estimation.- 2.1 Estimation Principle.- 2.2 Examples.- 2.3 Two-Step Estimators.- 3 Asymptotic Properties of GMM Estimators.- 3.1 Consistency.- 3.2 Asymptotic Distribution.- 4 Computation of GMM Estimators.- 4.1 The Newton-Raphson Method.- 4.2 A Stopping Rule for Initial Estimators.- 5 Asymptotic Efficiency Bounds.- 5.1 Semiparametric Efficiency.- 5.2 Optimal Weights.- 5.3 Optimal Instruments.- 6 Overidentifying Restrictions.- 6.1 Asymptotic Efficiency Gains.- 6.2 Higher Order Moment Conditions.- 6.3 Moments of Compounded Distributions.- 6.4 Complementary Data Sources.- 7 GMM Estimation with Optimal Weights.- 7.1 Iterative Estimators.- 7.2 Small Sample Shortcomings.- 7.3 Lessons from IV Estimation.- 7.4 Application to GMM Estimation.- 7.5 Bootstrapping for GMM Estimators.- 7.6 Empirical Likelihood Approaches.- 8 GMM Estimation with Optimal Instruments.- 8.1 Parametric Two-step Estimation.- 8.2 Series Approximation.- 8.3 K-Nearest Neighbor Estimation.- 8.4 Kernel Estimation.- 8.5 Cross-Validation.- 9 Monte Carlo Investigation.- 9.1 GMM versus Maximum Likelihood Estimation.- 9.2 GMM versus Empirical Likelihood Estimation.- II: Application.- 10 Theory of Cooperative R&D.- 10.1 Motivation.- 10.2 Intra- and Inter-Industry R&D Cooperation.- 10.3 Extension to Vertically Related Industries.- 10.4 Horizontal and Vertical R&D Cooperation.- 10.5 Empirical Implications of the Model.- 11 Empirical Evidence on Cooperative R&D.- 11.1 Data.- 11.2 Specification.- 11.3 Estimation Results.- 12 Conclusion.- References.