An Averaging GMM Estimator Robust to Misspecification

Ruoyao Shi () and Zhipeng Liao ()
Additional contact information
Ruoyao Shi: Department of Economics, University of California Riverside
Zhipeng Liao: UCLA Economics

No 201803, Working Papers from University of California at Riverside, Department of Economics

Abstract: This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper and lower bounds of the finite-sample truncated risk difference between any two estimators, which is used to compare the averaging GMM estimator and the conservative GMM estimator. Under some sufficient conditions, we show that the asymptotic lower bound of the truncated risk difference between the averaging estimator and the conservative estimator is strictly less than zero, while the asymptotic upper bound is zero uniformly over any degree of misspecification. Extending seminal results on the James-Stein estimator, this uniform dominance is established in non-Gaussian semiparametric nonlinear models. The simulation results support our theoretical findings.

Keywords: asymptotic risk; finite-sample risk; generalized shrinkage estimator; GMM; misspecification; model averaging; non-standard estimator; uniform approximation (search for similar items in EconPapers)
Pages: 84 Pages
Date: 2018-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.ucr.edu/repec/ucr/wpaper/201803.pdf First version, 2018 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucr:wpaper:201803

Access Statistics for this paper

More papers in Working Papers from University of California at Riverside, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kelvin Mac ().