A symptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameter

Whitney Newey, Joaquim Ramalho () and Richard Smith ()

Economics Working Papers from University of Évora, Department of Economics (Portugal)

Abstract: This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is conducted for covariance structure models. Empirical likelihood offers much reduced mean and median bias, root mean squared error and mean absolute error, as compared with two-step GMM and other GEL methods. Both analytical and bootstrap bias-adjusted two-step GMM estima-tors are compared. Analytical bias-adjustment appears to be a serious competitor to bootstrap methods in terms of finite sample bias, root mean squared error and mean absolute error. Finite sample variance seems to be little affected.

Keywords: GMM; Empirical Likelihood; Exponential Tilting; Continuous Updating; Bias; Stochastic Expansions (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2003
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http://hdl.handle.net/10174/8401 (text/html)

Related works:
Working Paper: Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:evo:wpecon:5_2003

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