Economics - Research Publications

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Type: Journal Article × Start date: 1983 × Author: Smith, Richard ×

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    QUASI-MAXIMUM LIKELIHOOD AND THE KERNEL BLOCK BOOTSTRAP FOR NONLINEAR DYNAMIC MODELS
    Parente, PMDC ; Smith, RJ (Wiley, 2021)
    This article applies a novel bootstrap method, the kernel block bootstrap (KBB), to quasi‐maximum likelihood (QML) estimation of dynamic models with stationary strong mixing data. The method first kernel weights the components comprising the quasi‐log likelihood function in an appropriate way and then samples the resultant transformed components using the standard ‘m out of n’ bootstrap. We investigate the first‐order asymptotic properties of the KBB method for QML demonstrating, in particular, its consistency and the first‐order asymptotic validity of the bootstrap approximation to the distribution of the QML estimator. A set of simulation experiments for the mean regression model illustrates the efficacy of the kernel block bootstrap for QML estimation.
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    Tests of additional conditional moment restrictions
    Parente, PMDC ; Smith, RJ (Elsevier, 2017-09)
    The primary focus of this article is the provision of tests for the validity of a set of conditional moment constraints additional to those defining the maintained hypothesis that are relevant for independent cross-sectional data contexts. The point of departure and principal contribution of the paper is the explicit and full incorporation of the conditional moment information defining the maintained hypothesis in the design of the test statistics. Thus, the approach mirrors that of the classical parametric likelihood setting by defining restricted tests in contradistinction to unrestricted tests that partially or completely fail to incorporate the maintained information in their formulation. The framework is quite general allowing the parameters defining the additional and maintained conditional moment restrictions to differ and permitting the conditioning variates to differ likewise. GMM and generalized empirical likelihood test statistics are suggested. The asymptotic properties of the statistics are described under both null hypothesis and a suitable sequence of local alternatives. An extensive set of simulation experiments explores the practical efficacy of the various test statistics in terms of empirical size and size-adjusted power confirming the superiority of restricted over unrestricted tests. A number of restricted tests possess both sufficiently satisfactory empirical size and power characteristics to allow their recommendation for econometric practice.
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