Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions

Frank Schorfheide and Hyungsik Moon ()

No 5605, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically valid confidence sets for the parameters of interest. While inequality moment conditions arise in many important economic models, we use a dynamic macroeconomic model as data generating process and illustrate our methods with instrumental variable estimators of monetary policy rules. The assumption that output does not fall in response to an expansionary monetary policy shock leads to an inequality moment condition that can substantially increase the precision with which the policy rule is estimated. The results obtained in this paper extend to conventional GMM estimators.

Keywords: Empirical likelihood estimation; Generalized method of movements; Inequality moment conditions; Instrumental variable estimation; Monetary policy rules (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://cepr.org/publications/DP5605 (application/pdf)

Related works:
Working Paper: Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions (2006)
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:cpr:ceprdp:5605

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP5605

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().