Details

Autor(en) / Beteiligte

• Wilhelm, Daniel

Titel

OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION

Ist Teil von

• Econometric theory, 2015-10, Vol.31 (5), p.1054-1077

Ort / Verlag

New York, USA: Cambridge University Press

Erscheinungsjahr

2015

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or bandwidth) so that the resulting point estimate is optimal in a certain sense. We derive an asymptotically optimal bandwidth that minimizes a higher-order approximation to the asymptotic mean-squared error of the estimator of interest. We show that the optimal bandwidth is of the same order as the one minimizing the mean-squared error of the nonparametric plugin estimator, but the constants of proportionality are significantly different. Finally, we develop a data-driven bandwidth selection rule and show, in a simulation experiment, that it may substantially reduce the estimator’s mean-squared error relative to existing bandwidth choices, especially when the number of moment conditions is large.