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; 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.

提出的研究将继续并扩展一项长期的非线性计量经济学研究计划。观点是，计量经济学规范是基础数据生成机制的近似值。与此观点保持一致，已经开发了方法，可以随着信息的可用信息依次改善近似值，并允许在模型演化的每个中间阶段可靠推断。这些目标是在涵盖大多数非线性计算过程的一般性水平上实现的。基本思想是通过用截断的串联膨胀，具有截断的膨胀或两者兼而有之的误差密度来赋予具有非参数特性的过程。通过让截断点随样本量的自适应增长，在每个中间阶段的近似值足够准确，以允许可靠的推断和最终收敛到基础数据生成机制。可以在此范式内进行直接参数化的结构建模。这个想法是要求结构模型所隐含的矩与根据上述方法相匹配的模型得分。该估计器具有某些优势。估计可以使估计效率尽可能高，好像已经使用了最大似然。与最大似然性不同，如果结构模型包含潜在变量或缺少数据，则计算负担不会增加计算负担。学生化的分数用作诊断测试，并且由于分数对应于数据的可识别特征，因此未能通过诊断表明数据的哪些特征是一个紧密的参数化结构模型无法解释。这是对建模开发的宝贵援助。具体的建议是确定上述优势是从比迄今为止使用的高级假设，提高计算效率的高级假设的假设，并继续开发一项持续的经验计划，以利用上述新方法。最初的工作将集中于对结构宏模型的估计，并注意同时使用时间序列和面板数据。减少的表单应用程序将集中于从离散抽样的资产价格中提取连续时间波动过程的方法，并有效预测连续时间过程的功能，例如集成的正向波动率。