Asymptotic efficiency in estimation with conditional moment restrictions

Chamberlain, Gary

doi:10.1016/0304-4076(87)90015-7

Cited by 653 publications

(608 citation statements)

References 17 publications

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“…In the absence of any additional knowledge about the process for the initial conditions, this estimator is asymptotically efficient in the class of estimators based on the linear moment conditions [Eq. (3.1)] (see Hansen, 1982;Chamberlain, 1987). Ahn and Schmidt (1995) show that additional linear moment conditions are available if the v GR disturbances are homoskedastic through time, i.e.…”

Section: The Standard Moment Conditionsmentioning

confidence: 99%

Initial conditions and moment restrictions in dynamic panel data models

Blundell

Bond

1998

Journal of Econometrics

18,207

116

10,784

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Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard firstdifferenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM estimator, and compared to non-linear GMM. The importance of these results is illustrated in an application to the estimation of a labour demand model using company panel data.1998 Elsevier Science S.A. All rights reserved. JEL classification: C23

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Section: The Standard Moment Conditionsmentioning

confidence: 99%

Initial conditions and moment restrictions in dynamic panel data models

Blundell

Bond

1998

Journal of Econometrics

18,207

116

10,784

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“…Any function of the observable data, D ht , that is independent of the unobservables must be conditionally uncorrelated with " ht at £ = £ 0 (Hansen 1982 andChamberlain 1987): Given such a function, Z ht = f (D ht ), I can construct conditional moments:…”

Section: Model Estimationmentioning

confidence: 99%

“…In contrast, the second largest beverage, beer, accounts for only 19.4%, roughly 22.1 gallons per capita in 1998. 9 . A.C. Nielsen estimates that the CSD category is the largest in the Dry Grocery Department at US Food Stores, accounting for roughly one tenth of the department's national sales revenue.…”

Section: Introductionmentioning

confidence: 99%

Product Differentiation and Mergers in the Carbonated Soft Drink Industry

Dubé

2005

Economics Manag Strategy

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractEconomists increasingly rely on structural methods to assess mergers in di¤erentiated products industries. They typically estimate aggregate demand models using market level data, requiring a trade-o¤ between the scope of products considered and the implied underlying consumer behavior. Instead, I use a unique micro data set containing detailed transaction-level information for a panel of household purchases of carbonated soft drinks. I estimate household demand for soft drinks, allowing for more realistic multi-item purchase behavior for a large set of product alternatives. Integrating across the predicted household purchases, I combine aggregate demand with a model of static oligopoly. Finally, I simulate the competitive impact of several soft drink mergers on equilibrium prices and quantities. I compare my results with the popular aggregate mixed logit model. (JEL L15, C5, D4)

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“…An answer to this question can be obtained comparing the optimal asymptotic variance attainable in the two cases; such a comparison can be derived directly from the results in Chamberlain (1987), which we briefly recall here.…”

Section: Asymptotic Efficiencymentioning

confidence: 99%

“…Under suitable regularity conditions, we allow for a general nonlinear model, provided that unobservables enter the model additively. The lower bound is obtained by applying standard results of inference under conditional moment restrictions (see, for instance, Chamberlain, 1987). Small sample behaviour is studied through simulation.…”

Section: Introductionmentioning

confidence: 99%

Efficiency of repeated-cross-section estimators in fixed-effects models

Rosati

2013

Statistics & Probability Letters

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Asymptotic efficiency in estimation with conditional moment restrictions

Cited by 653 publications

References 17 publications

Initial conditions and moment restrictions in dynamic panel data models

Initial conditions and moment restrictions in dynamic panel data models

Product Differentiation and Mergers in the Carbonated Soft Drink Industry

Efficiency of repeated-cross-section estimators in fixed-effects models

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