The Empirical Saddlepoint Estimator

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Tác giả: Benjamin Holcblat, Fallaw Sowell

Ngôn ngữ: eng

Ký hiệu phân loại: 522.75 Techniques, procedures, apparatus, equipment, materials

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 162911

We define a moment-based estimator that maximizes the empirical saddlepoint (ESP) approximation of the distribution of solutions to empirical moment conditions. We call it the ESP estimator. We prove its existence, consistency and asymptotic normality, and we propose novel test statistics. We also show that the ESP estimator corresponds to the MM (method of moments) estimator shrunk toward parameter values with lower estimated variance, so it reduces the documented instability of existing moment-based estimators. In the case of just-identified moment conditions, which is the case we focus on, the ESP estimator is different from the MM estimator, unlike the recently proposed alternatives, such as the empirical-likelihood-type estimators.
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