Information Theoretic Approaches to Inference in Moment Condition Models

Guido Imbens, Phillip Johnson and Richard H. Spady

No 186, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: One-step efficient GMM estimation has been developed in the recent papers of Back and Brown (1990), Imbens (1993) and Qin and Lawless (1994). These papers emphasized methods that correspond to using Owen's (1988) method of empirical likelihood to reweight the data so that the reweighted sample obeys all the moment restrictions at the parameter estimates. In this paper we consider an alternative KLIC motivated weighting and show how it and similar discrete reweightings define a class of unconstrained optimization problems which includes GMM as a special case. Such KLIC-motivated reweightings introduce M auxiliary `tilting' parameters, where M is the number of moments; parameter and overidentification hypotheses can be recast in terms of these tilting parameters. Such tests, when appropriately conditioned on the estimates of the original parameters, are often startlingly more effective than their conventional counterparts. This is apparently due to the local ancillarity of the original parameters for the tilting parameters.

Date: 1995-10
Note: LS
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Citations: View citations in EconPapers (3)

Published as Econometrica (1998).

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Related works:
Journal Article: Information Theoretic Approaches to Inference in Moment Condition Models (1998)
Working Paper: Information Theoretic Approaches to Inference in Moment Condition Models (1995)
Working Paper: Information Theoretic Approaches to Inference in Movement Condition Models (1995)
Working Paper: Information theoretic approaches to inference in moment condition model
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