arXiv 18 Jan 2023 · Econometrics
arXiv:2301.07782 · PDF · Extracted main text
This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general (non-likelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods. The approach generates an alternative to classical extremum estimation and also falls outside the parametric Bayesian approach. For example, it offers a new attractive estimation method for such important semi-parametric problems as censored and instrumental quantile, nonlinear GMM and value-at-risk models. The LTE's are computed using Markov Chain Monte Carlo methods, which help circumvent the computational curse of dimensionality. A large sample theory is obtained for regular cases.
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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 | Amemiya, T (1985) Advanced Econometrics | 0.693 | 8 | 1 | 100% |
| 2 | Gallant, A. R., White, H (1988) A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models | 0.693 | 5 | 1 | 100% |
| 3 | Koenker, R., Bassett, G. S (1978) Regression quantiles | 0.693 | 5 | 1 | 100% |
| 4 | Newey, W. K., Smith, R (2001) Higher order properties of GMM and generalized empirical likeliood estimators, Working Paper, Department of Economics MIT | 0.693 | 5 | 1 | 100% |
| 5 | Qin, J., Lawless, J (1994) Empirical likelihood and general estimating equations | 0.693 | 5 | 1 | 100% |
| 6 | Bickel, P. J., Yahav, J. A (1969) Some contributions to the asymptotic theory of Bayes solutions | 0.652 | 6 | 1 | 83% |
| 7 | Ibragimov, I., Has'minskii, R (1981) Statistical Estimation: Asymptotic Theory | 0.644 | 5 | 1 | 80% |
| 8 | van der Vaart, A. W., Wellner, J. A (1996) Weak Convergence and Empirical Processes | 0.644 | 5 | 1 | 80% |
| 9 | Powell, J. L (1984) Least absolute deviations estimation for the censored regression model | 0.644 | 4 | 1 | 100% |
| 10 | Robert, C. P., Casella, G (1999) Monte Carlo Statistical Methods | 0.585 | 5 | 1 | 60% |
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