Estimation with overidentifying inequality moment conditions. (English) Zbl 1431.62126
Summary: This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically uniformly valid tests and confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as a data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The results obtained in this paper extend to conventional GMM estimators.
MSC:
| 62G05 | Nonparametric estimation |
| 62E20 | Asymptotic distribution theory in statistics |
| 62P20 | Applications of statistics to economics |
Keywords:
empirical likelihood estimation; generalized method of moments; inequality moment conditions; instrumental variable estimation; monetary policy rulesSoftware:
GensysReferences:
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