Identification problem of the exponential tilting estimator under misspecification

• 末石, 直也

抄録

This paper shows a potential pitfall of the exponential tilting (ET) estimator under misspecification. We show that the pseudo-true value of the ET estimator is not identified if the true distribution is not absolutely continuous with respect to the probability measures implied by the moment restriction model. This result implies that the ET estimator cannot be consistent for the pseudo-true value if the moment generating function of the moment function is unbounded.

収録刊行物

• Economics Letters

  Economics Letters 118 (3), 509-511, 2013-03

  Elsevier B.V.

キーワード

• Exponential tilting estimator
• Misspecified models
• I-projection

詳細情報

• CRID: 1050001335764452096
• NII論文ID: 120005242566
• NII書誌ID: AA00174222
• ISSN: 01651765
• HANDLE: 2433/171235
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles
  • KAKEN