Information theoretic approaches to inference in moment condition models
Article Abstract:
Tests derived from the Lagrange multipliers performed better compared to the standard tests for overidentifying restrictions in moment condition models. A number of other tests are proposed as alternatives to the standard tests. These proposed tests are based on information-theoretic options to the standard generalized method of moments (GMM) estimators. These alternative tests can be applied easily in cases where the GMM standard tests perform poorly because it can be calculated with little difficulty.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1998
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On the role of the propensity score in efficient semiparametric estimation of average treatment effects
Article Abstract:
The propensity score plays a supplementary role for estimation of average treatment effects. A propensity score is the conditional probability of program participation given some observed characteristics. The projection on the propensity score is not necessary to attain the semiparametric efficiency bounds. Moreover, conditioning on the propensity score contributes to the loss of efficiency for treatments of experimental data.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1998
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An efficient semiparametric estimator for binary response models
Article Abstract:
An evaluation of a semiparametric estimator for binary response models is presented. The analysis focuses on estimator efficiency and does not assume choice probability functional form. It is shown that the subject estimator exhibits consistency, generates an asymptotic normal distribution and meets semiparametric efficiencybounds. In addition, the estimator indicates minimal efficiency losses.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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