Benjamin Holcblat, Fallaw Sowell
arXiv 16 May 2019 · Mathematics — Statistics Theory · publishedElectronic Journal of Statistics (2022) · 2 citations (OpenAlex)
arXiv:1905.06977 · PDF · DOI · OpenAlex · Extracted main text
We define a moment-based estimator that maximizes the empirical saddlepoint (ESP) approximation of the distribution of solutions to empirical moment conditions. We call it the ESP estimator. We prove its existence, consistency and asymptotic normality, and we propose novel test statistics. We also show that the ESP estimator corresponds to the MM (method of moments) estimator shrunk toward parameter values with lower estimated variance, so it reduces the documented instability of existing moment-based estimators. In the case of just-identified moment conditions, which is the case we focus on, the ESP estimator is different from the MM estimator, unlike the recently proposed alternatives, such as the empirical-likelihood-type estimators.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Imbens, Spady and Johnson (1998) Information theoretic approaches to inference in moment condition models, Econometrica 66(2), 333–357 | 1.000 | 5 | 4 | 100% |
| 2 | Holcblat and Sowell (2019) Online appendix to “ | 1.000 | 5 | 3 | 100% |
| 3 | Ronchetti and Welsh (1994) Empirical saddlepoint approximations for multivariate | 0.843 | 4 | 3 | 75% |
| 4 | Kitamura and Stutzer (1997) An information-theoretic alternative to generalized method of moments estimation, Econometrica 65(4), 861–874 | 0.737 | 10 | 7 | 40% |
| 5 | Field (1982) Small sample asymptotic expansions for multivariate | 0.737 | 3 | 2 | 100% |
| 6 | Davison and Hinkley (1988) Saddlepoint approximations in resampling methods, Biometrika 75(3), 417–431 | 0.737 | 3 | 2 | 100% |
| 7 | Daniels (1954) Saddlepoint approximations in statistics, The Annals of Mathematical Statistics 25(4), 631–650 | 0.644 | 2 | 2 | 100% |
| 8 | Robinson, Ronchetti and Young (2003) Saddlepoint approximations and tests based on multivariate | 0.644 | 2 | 2 | 100% |
| 9 | Sowell (2009) The empirical saddlepoint likelihood estimator applied to two-step self | 0.644 | 2 | 2 | 100% |
| 10 | Lô and Ronchetti (2012) Robust small sample accurate inference in moment condition models, Computational Statistics and Data Analysis 56, 3182–3197 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 87 scored citations.