Wednesday, January 10, 2018

GEL-Based Inference with Unconditional Moment Inequality Restrictions

Richard Smith
(University of Cambridge)

Abstract: This paper studies the properties of generalised empirical likelihood (GEL) methods for the estimation of and inference on partially identied parameters in models specied by unconditional moment inequality constraints. The central re-sult is, as in moment equality condition models, a large sample equivalence between the scaled optimised GEL objective function and that for generalised method of mo-ments (GMM) with weight matrix equal to the inverse of the ecient GMM metric for moment equality restrictions. Consequently, the paper provides a generalisa-tion of results in the extant literature for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a consistent estimator of the identied set, i.e., those parameter values that satisfy the moment inequalities, and derives the corresponding rate of convergence. Based on these results the consistency of and rate of convergence for the GEL estimator of the identied set are obtained. A number of alternative equivalent GEL criteria are also considered and discussed. The paper proposes simple conservative consis-tent condence regions for the identied set and the true parameter vector based on both GMM with a non-diagonal weight matrix and GEL. A simulation study examines the ecacy of the non-diagonal GMM and GEL procedures proposed in the paper and compares them with the standard diagonal GMM method.

Wednesday, January 10, 2018
Time: 14h00
Room: Sala Santander, Edificio Quelhas, ISEG