Estimation for conditional moment models based on martingale difference divergence

We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD). Our MDD‐based estimation method is formed in the framework of a continuum of unconditional moment restrictions. Unlike the existing estimation methods in this framework, the MDD‐based estimation method adopts a non‐integrable weighting function, which could capture more information from unconditional moment restrictions than the integrable weighting function to enhance the estimation efficiency. Due to the nature of shift‐invariance in MDD, our MDD‐based estimation method can not identify the intercept parameters. To overcome this identification issue, we further provide a two‐step estimation procedure for the model with intercept parameters. Under regularity conditions, we establish the asymptotics of the proposed estimators, which are not only easy‐to‐implement with expectation‐based asymptotic variances, but also applicable to time series data with an unspecified form of conditional heteroskedasticity. Finally, we illustrate the usefulness of the proposed estimators by simulations and two real examples.

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Publication Details

Journal
Journal of Time Series Analysis
Published
2024-10-27
DOI
https://doi.org/10.1111/jtsa.12788
Primary Topic
Statistical Methods and Inference
Type
article
Field-Weighted Citation Impact
0.00

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article

Estimation for conditional moment models based on martingale difference divergence

Ke Zhu, Feiyu Jiang, Kunyang Song
Journal of Time Series Analysis
Statistical Methods and Inference
article

Estimation for conditional moment models based on martingale difference divergence

Ke Zhu, Feiyu Jiang, Kunyang Song
article en

Abstract

We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD). Our MDD‐based estimation method is formed in the framework of a continuum of unconditional moment restrictions. Unlike the existing estimation methods in this framework, the MDD‐based estimation method adopts a non‐integrable weighting function, which could capture more information from unconditional moment restrictions than the integrable weighting function to enhance the estimation efficiency. Due to the nature of shift‐invariance in MDD, our MDD‐based estimation method can not identify the intercept parameters. To overcome this identification issue, we further provide a two‐step estimation procedure for the model with intercept parameters. Under regularity conditions, we establish the asymptotics of the proposed estimators, which are not only easy‐to‐implement with expectation‐based asymptotic variances, but also applicable to time series data with an unspecified form of conditional heteroskedasticity. Finally, we illustrate the usefulness of the proposed estimators by simulations and two real examples.

Journal of Time Series AnalysisVol. 46(4)
Hong Kong University of Science and Technology (HK), Fudan University (CN), University of Hong Kong (HK)
National Natural Science Foundation of China
Openalex Percentile: Top 81%
Statistical Methods and Inference
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