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Advances in Info-MetricsInformation and Information Processing across Disciplines$
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Min Chen, J. Michael Dunn, Amos Golan, and Aman Ullah

Print publication date: 2020

Print ISBN-13: 9780190636685

Published to Oxford Scholarship Online: December 2020

DOI: 10.1093/oso/9780190636685.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 13 June 2021

Info-metric Methods for the Estimation of Models with Group-Specific Moment Conditions

Info-metric Methods for the Estimation of Models with Group-Specific Moment Conditions

Chapter:
(p.349) 13 Info-metric Methods for the Estimation of Models with Group-Specific Moment Conditions
Source:
Advances in Info-Metrics
Author(s):

Martyn Andrews

Alastair R. Hall

Rabeya Khatoon

James Lincoln

Publisher:
Oxford University Press
DOI:10.1093/oso/9780190636685.003.0013

Motivated by empirical analyses in economics using repeated cross-sectional data, we propose info-metric methods (IM) for estimation of the parameters of statistical models based on the information in population moment conditions that hold at group level. The info-metric estimation can be viewed as the primary approach to a constrained optimization. The estimators can also be obtained via the dual approach to this optimization, known as generalized empirical likelihood (GEL). In Andrews, Hall, Khatoon and Lincoln (2019), we provide a comprehensive framework for inference based on GEL with the grouped-specific moment conditions. In this chapter, we compare the computational requirements of the primary and dual approaches. We also describe the IM/GEL inference framework in the context of a linear regression model that is estimated using the information that the mean of the error is zero for each group. For the latter setting, we use analytical arguments and a small simulation study to compare the properties of IM/GEL-based inferences to those of inferences based on certain extant methods. The IM/GEL methods are illustrated through an application to estimation of the returns to education in which the groups are defined via information on family background.

Keywords:   microeconometrics, repeated cross-sectional data, pseudo-panel methods, generalized empirical likelihood, generalized method of moments

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