Xiaohong Chen, Sokbae Lee, Yuan Liao, Myung Hwan Seo, Youngki Shin, Myunghyun Song
arXiv 25 Aug 2023 · Econometrics · publishedJournal of Financial Econometrics (2023) · 7 citations (OpenAlex)
arXiv:2308.13564 · PDF · DOI · OpenAlex · Extracted main text
We introduce a new class of algorithms, Stochastic Generalized Method of Moments (SGMM), for estimation and inference on (overidentified) moment restriction models. Our SGMM is a novel stochastic approximation alternative to the popular Hansen (1982) (offline) GMM, and offers fast and scalable implementation with the ability to handle streaming datasets in real time. We establish the almost sure convergence, and the (functional) central limit theorem for the inefficient online 2SLS and the efficient SGMM. Moreover, we propose online versions of the Durbin-Wu-Hausman and Sargan-Hansen tests that can be seamlessly integrated within the SGMM framework. Extensive Monte Carlo simulations show that as the sample size increases, the SGMM matches the standard (offline) GMM in terms of estimation accuracy and gains over computational efficiency, indicating its practical value for both large-scale and online datasets. We demonstrate the efficacy of our approach by a proof of concept using two well known empirical examples with large sample sizes.
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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 | Lee, S., Y. Liao, M. H. Seo, and Y. Shin (2022) Fast and robust online inference with stochastic gradient descent via random scaling self | 0.961 | 9 | 4 | 89% |
| 2 | Angrist, J. D. and A. B. Krueger (1991) Does compulsory school attendance affect schooling and earnings? | 0.874 | 8 | 2 | 100% |
| 3 | Angrist, J. D. and W. N. Evans (1998) Children and their parents' labor supply: Evidence from exogenous variation in family size | 0.874 | 6 | 2 | 100% |
| 4 | Kiefer, N. M., T. J. Vogelsang, and H. Bunzel (2000) Simple robust testing of regression hypotheses | 0.811 | 4 | 2 | 100% |
| 5 | Polyak, B. T. and A. B. Juditsky (1992) Acceleration of stochastic approximation by averaging | 0.763 | 9 | 3 | 44% |
| 6 | Hansen, P (1982) Large sample properties of generalized method of moments estimators | 0.737 | 3 | 2 | 100% |
| 7 | Robbins, H. and S. Monro (1951) A Stochastic Approximation Method | 0.644 | 2 | 2 | 100% |
| 8 | Bottou, L., F. E. Curtis, and J. Nocedal (2018) Optimization methods for large-scale machine learning | 0.644 | 2 | 2 | 100% |
| 9 | Gupta, A. and M. H. Seo (2023) Robust inference on infinite and growing dimensional time-series regression | 0.644 | 2 | 2 | 100% |
| 10 | Lee, S., Y. Liao, M. H. Seo, and Y. Shin (2022) Fast inference for quantile regression with millions of observations self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 44 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | SLIM: Stochastic Learning and Inference in Overidentified Models | 0.928 | 5 | 3 |
| 2 | Online Learning in Semiparametric Econometric Models | 0.737 | 3 | 2 |
| 3 | Asymptotic Theory for IV-Based Reinforcement Learning with Potential Endogeneity | 0.405 | 1 | 1 |