On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data

doi:10.1111/sjos.12354

CORC > 上海财经大学 > 上海财经大学

	On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data
	Chen, Xuerong 1; Chen, Yan 2; Wan, Alan T. K.3; Zhou, Yong 4
刊名	SCANDINAVIAN JOURNAL OF STATISTICS
	2019-06
卷号	46 期号:2 页码:361-388
关键词	empirical likelihood generalized method of moments kernel missing at random non-smooth semiparametric efficiency bound
ISSN号	0303-6898
DOI	10.1111/sjos.12354
英文摘要	The generalized method of moments (GMM) and empirical likelihood (EL) are popular methods for combining sample and auxiliary information. These methods are used in very diverse fields of research, where competing theories often suggest variables satisfying different moment conditions. Results in the literature have shown that the efficient-GMM (GMM(E)) and maximum empirical likelihood (MEL) estimators have the same asymptotic distribution to order n(-1/2) and that both estimators are asymptotically semiparametric efficient. In this paper, we demonstrate that when data are missing at random from the sample, the utilization of some well-known missing-data handling approaches proposed in the literature can yield GMM(E) and MEL estimators with nonidentical properties; in particular, it is shown that the GMM(E) estimator is semiparametric efficient under all the missing-data handling approaches considered but that the MEL estimator is not always efficient. A thorough examination of the reason for the nonequivalence of the two estimators is presented. A particularly strong feature of our analysis is that we do not assume smoothness in the underlying moment conditions. Our results are thus relevant to situations involving nonsmooth estimating functions, including quantile and rank regressions, robust estimation, the estimation of receiver operating characteristic (ROC) curves, and so on.
WOS研究方向	Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000465606900001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2785]
专题	上海财经大学
通讯作者	Chen, Xuerong
作者单位	1.Southwestern Univ Finance & Econ, Ctr Stat Res, 555 Liutai Ave, Chengdu 611130, Sichuan, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China; 4.East China Normal Univ, Fac Econ & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Chen, Xuerong,Chen, Yan,Wan, Alan T. K.,et al. On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data[J]. SCANDINAVIAN JOURNAL OF STATISTICS,2019,46(2):361-388.
APA	Chen, Xuerong,Chen, Yan,Wan, Alan T. K.,&Zhou, Yong.(2019).On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data.SCANDINAVIAN JOURNAL OF STATISTICS,46(2),361-388.
MLA	Chen, Xuerong,et al."On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data".SCANDINAVIAN JOURNAL OF STATISTICS 46.2(2019):361-388.