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On Selection of Moment Conditions in GMMfrom Viewpoints of Quasi-Likelihood
https://uec.repo.nii.ac.jp/records/6812
https://uec.repo.nii.ac.jp/records/6812e148f994-9a83-450a-a463-a357412dd524
名前 / ファイル | ライセンス | アクション |
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9000000188.pdf (724.7 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-02-17 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | On Selection of Moment Conditions in GMMfrom Viewpoints of Quasi-Likelihood | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題 | 1-factor spot rate model | |||||
キーワード | ||||||
言語 | en | |||||
主題 | selection of the moment conditions | |||||
キーワード | ||||||
言語 | en | |||||
主題 | GMM | |||||
キーワード | ||||||
言語 | en | |||||
主題 | quasi-likelihood | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
Miyazaki, Koichi
× Miyazaki, Koichi× Tsubaki, Hiroe |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In the estimation of parameters of 1-factor spot rate model based on GMM, Chan, Karolyi, Longstaff and Sanders (1992) introduced moment conditions, which work very well in practice. However, they didnt refer how to select the conditions and how sensitive the estimation results are against the selection of the moment conditions. This article suggests the optimal strategy of the above selection in the CKLS model from the viewpoints of Heyde (1997)s quasi-likelihood and optimal estimating equation theory, which may not be fairly popular in the econometric field as in the biometric field and also clarifies that the derived optimal GMM estimators are asymptotically equivalent to their quasi-maximum likelihood estimates. In numerical examples, the parameter estimation results based on several moment conditions are provided in the case of CIR model and Vasicek model. | |||||
書誌情報 |
ja : 電気通信大学紀要 巻 15, 号 2, p. 209-214, 発行日 2003-01-31 |
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出版者 | ||||||
出版者 | 電気通信大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0915-0935 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |