Extensions and Applications of Efficient Method of Moments

高效矩量法的推广与应用

• 批准号: 0000176
• 负责人: A. Ronald Gallant
• 金额: $ 23.44万
• 依托单位: University of North Carolina at Chapel Hill
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-07-01 至 2003-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0000176&HistoricalAwards=false
• 关键词: Extensions; Applications; Efficient; Method; Moments

The proposed research to be undertaken will continue and extend a long-standing program of research in nonlinear econometric methods. The view is that an econometric specification is an approximation to the underlying data generating mechanism. In keeping with this view, methodologies have been developed that sequentially improve the approximation as information becomes available, and permit reliable inference at each intermediate stage of model evolution. These objectives have been accomplished at a level of generality that encompasses most nonlinear econometric inference procedures. The basic idea is to endow a procedure with nonparametric properties by replacing the structural model with a truncated series expansion, the error density with a truncated expansion, or both. By letting the truncation point grow adaptively with sample size, the approximation is accurate enough at each intermediate stage to permit reliable inference and ultimate convergence to the underlying data generating mechanism is assured.Tightly parameterized structural modeling can be carried out within this paradigm. The idea is to require that moments implied by the structural model match the scores of a model developed according to the methodology described above. This estimator has certain advantages. Estimates can be made as efficient as if maximum likelihood had been employed. Unlike maximum likelihood, the computational burden does not increase if the state vector is partially observed either because the structural model contains latent variables or because data is missing. Studentized scores serve as diagnostic tests and, because the scores correspond to identifiable features of data, failure to pass a diagnostic indicates which features of data a tightly parameterized structural model cannot explain. This is an invaluable aid to model development.The specific proposal is to establish that the advantages claimed above follow from assumptions that are more primitive than the high level assumptions used to date, to improve computational efficiency, and to continue an ongoing program of empirical work that exploits the new methodologies discussed above. Initial work will focus on the estimation of structural macro models with attention to the simultaneous use of time series and panel data. Reduced form applications will focus on methods for extracting the continuous time volatility process from discretely sampled asset prices and efficiently predicting functionals of the continuous time process such as integrated forward volatility.

拟进行的研究将继续并扩展非线性计量经济学方法的长期研究计划。人们认为计量经济学规范是底层数据生成机制的近似。根据这一观点，我们开发了一些方法，随着信息的可用，顺序改进近似值，并允许在模型演化的每个中间阶段进行可靠的推理。这些目标已经在涵盖大多数非线性计量经济学推理程序的通用水平上实现。基本思想是通过将结构模型替换为截断级数展开、将误差密度替换为截断展开或两者来赋予过程非参数属性。通过让截断点随着样本大小自适应增长，每个中间阶段的近似都足够准确，以允许可靠的推理，并确保最终收敛到底层数据生成机制。可以在该范式中执行严格参数化的结构建模。这个想法是要求结构模型隐含的矩与根据上述方法开发的模型的分数相匹配。该估计器具有一定的优点。可以像使用最大似然法一样有效地进行估计。与最大似然不同，如果由于结构模型包含潜在变量或数据丢失而部分观察到状态向量，则计算负担不会增加。学生化分数用作诊断测试，并且由于分数对应于数据的可识别特征，未能通过诊断表明严格参数化的结构模型无法解释哪些数据特征。这是对模型开发的宝贵帮助。具体建议是确定上述优点源自比迄今为止使用的高级假设更原始的假设，以提高计算效率，并继续正在进行的实证工作计划利用了上面讨论的新方法。初步工作将侧重于结构宏观模型的估计，并注意同时使用时间序列和面板数据。简化形式的应用将重点关注从离散采样的资产价格中提取连续时间波动过程的方法，以及有效预测连续时间过程的函数（例如积分远期波动率）的方法。