Neglected heterogeneity in moment condition models
The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal m-tests against its potential presence. We initially consider the unconditio...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Elsevier
2017
|
| Online Access: | http://hdl.handle.net/1721.1/106184 https://orcid.org/0000-0003-2699-4704 |
| _version_ | 1811081713048092672 |
|---|---|
| author | Hahn, Jinyong Smith, Richard J. Newey, Whitney K |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Hahn, Jinyong Smith, Richard J. Newey, Whitney K |
| author_sort | Hahn, Jinyong |
| collection | MIT |
| description | The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal m-tests against its potential presence. We initially consider the unconditional moment restrictions framework. Optimal m-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained in terms of the second order own derivatives of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to optimal m-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context and the provision of a limited set of simulation experiments to illustrate the efficacy of the proposed tests. |
| first_indexed | 2024-09-23T11:51:17Z |
| format | Article |
| id | mit-1721.1/106184 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T11:51:17Z |
| publishDate | 2017 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | mit-1721.1/1061842022-09-27T22:25:08Z Neglected heterogeneity in moment condition models Hahn, Jinyong Smith, Richard J. Newey, Whitney K Massachusetts Institute of Technology. Department of Economics Newey, Whitney K The central concern of this paper is parameter heterogeneity in models specified by a number of unconditional or conditional moment conditions and thereby the provision of a framework for the development of apposite optimal m-tests against its potential presence. We initially consider the unconditional moment restrictions framework. Optimal m-tests against moment condition parameter heterogeneity are derived with the relevant Jacobian matrix obtained in terms of the second order own derivatives of the moment indicator in a leading case. GMM and GEL tests of specification based on generalized information matrix equalities appropriate for moment-based models are described and their relation to optimal m-tests against moment condition parameter heterogeneity examined. A fundamental and important difference is noted between GMM and GEL constructions. The paper is concluded by a generalization of these tests to the conditional moment context and the provision of a limited set of simulation experiments to illustrate the efficacy of the proposed tests. 2017-01-04T15:37:30Z 2017-01-04T15:37:30Z 2014-01 Article http://purl.org/eprint/type/JournalArticle 0304-4076 http://hdl.handle.net/1721.1/106184 Hahn, Jinyong, Whitney K. Newey, and Richard J. Smith. “Neglected Heterogeneity in Moment Condition Models.” Journal of Econometrics 178 (2014): 86–100. https://orcid.org/0000-0003-2699-4704 en_US http://dx.doi.org/10.1016/j.jeconom.2013.08.009 Journal of Econometrics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier MIT Web Domain |
| spellingShingle | Hahn, Jinyong Smith, Richard J. Newey, Whitney K Neglected heterogeneity in moment condition models |
| title | Neglected heterogeneity in moment condition models |
| title_full | Neglected heterogeneity in moment condition models |
| title_fullStr | Neglected heterogeneity in moment condition models |
| title_full_unstemmed | Neglected heterogeneity in moment condition models |
| title_short | Neglected heterogeneity in moment condition models |
| title_sort | neglected heterogeneity in moment condition models |
| url | http://hdl.handle.net/1721.1/106184 https://orcid.org/0000-0003-2699-4704 |
| work_keys_str_mv | AT hahnjinyong neglectedheterogeneityinmomentconditionmodels AT smithrichardj neglectedheterogeneityinmomentconditionmodels AT neweywhitneyk neglectedheterogeneityinmomentconditionmodels |