A jackknife interpretation of the continuous updating estimator

被引：18

作者：

Donald, SG

Newey, WK

机构：

[1] Boston Univ, Dept Econ, Boston, MA 02215 USA

[2] MIT, Dept Econ, Cambridge, MA 02139 USA

来源：

ECONOMICS LETTERS | 2000年 / 67卷 / 03期

关键词：

Generalized Method of Moments; jackknife; continuous updating estimator; bias; instrumental variables;

D O I：

10.1016/S0165-1765(99)00281-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Recent work on Generalized Method of Moments (GMM) estimators has suggested that the continuous updating estimator is less biased than the commonly used two-step estimator. We show that the continuous updating estimator can be interpreted as jackknife estimator. The interpretation gives some insight into why there is less bias associated with this estimator. (C) 2000 Elsevier Science S,A. All rights reserved.

引用

页码：239 / 243

页数：5

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