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TWO ESSAYS IN ECONOMETRICS: LARGE N T PROPERTIES OF IV, GMM,
MLE AND LEAST SQUARE MODEL SELECTION/AVERAGING
by
Junwei Zhang
A Dissertation Presented to the
FACULTY OF THE USC GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful¯llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(ECONOMICS)
August 2013
Copyright 2013 Junwei Zhang
Object Description
| Title | Two essays in econometrics: large N T properties of IV, GMM, MLE and least square model selection/averaging |
| Author | Zhang, Junwei |
| Author email | junweizh@usc.edu;junweizhg@gmail.com |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Economics |
| School | College of Letters, Arts And Sciences |
| Date defended/completed | 2013-06-20 |
| Date submitted | 2013-08-06 |
| Date approved | 2013-08-06 |
| Restricted until | 2013-08-06 |
| Date published | 2013-08-06 |
| Advisor (committee chair) | Hsiao, Cheng |
| Advisor (committee member) |
Ridder, Geert Nugent, Jeffrey B. Ferson, Wayne |
| Abstract | In this dissertation, the issues of Large N T Properties of IV, GMM, MLE and Least Square Model Selection/Averaging are studied. The first part is based on a joint work with Professor Hsiao. We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both are large. We show that the Anderson-Hsiao simple instrumental variable estimator (IV) or the quasi-maximum likelihood estimator (QMLE) treating initial value as stochastic is asymptotically unbiased either N or T or both tend to infinity. On the other hand, the QMLE treating initial value as fixed is asymptotically unbiased only if N is fixed and T is large. If both N and T are large and the ratio N/T goes to a nonzero constant, the QMLE treating initial values as fixed is asymptotically biased of order square root of N/T. On the other hand, the Arellano type GMM estimator is asymptotically biased of order square root of T/N if T/N goes to a nonzero constant, even we restrict the number of instruments used. Monte Carlo studies show that whether an estimator is asymptotically biased or not has important implications on the actual size of conventional t-test. The second part of this dissertation is on the issue of least square model selection and model averaging. By developing a new Whittle's inequality, we generalize the asymptotic loss efficiency results for Mallows criterion in different model selection and model averaging settings to the case when the error terms are autocorrelated. In particular, we show that the optimality results are still true in the model selection studied by Li (1987), the model averaging studied by Hansen (2007), and the model averaging studied by Wan, et al. (2010) in the time series framework with autocorrelated errors. |
| Keyword | asymptotic bias; asymptotic loss efficiency; GMM; IV; Mallows criterion; MLE |
| Language | English |
| Format (imt) | application/pdf |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m |
| Contributing entity | University of Southern California |
| Rights | Zhang, Junwei |
| Physical access | The author retains rights to his/her dissertation, thesis or other graduate work according to U.S. copyright law. Electronic access is being provided by the USC Libraries in agreement with the author, as the original true and official version of the work, but does not grant the reader permission to use the work if the desired use is covered by copyright. It is the author, as rights holder, who must provide use permission if such use is covered by copyright. The original signature page accompanying the original submission of the work to the USC Libraries is retained by the USC Libraries and a copy of it may be obtained by authorized requesters contacting the repository e-mail address given. |
| Repository name | University of Southern California Digital Library |
| Repository address | USC Digital Library, University of Southern California, University Park Campus MC 7002, 106 University Village, Los Angeles, California 90089-7002, USA |
| Repository email | cisadmin@dots.usc.edu |
| Filename | etd-ZhangJunwe-1982.pdf |
| Archival file | uscthesesreloadpub_Volume7/etd-ZhangJunwe-1982.pdf |
Description
| Title | Page 1 |
| Contributing entity | University of Southern California |
| Repository email | cisadmin@dots.usc.edu |
| Full text | TWO ESSAYS IN ECONOMETRICS: LARGE N T PROPERTIES OF IV, GMM, MLE AND LEAST SQUARE MODEL SELECTION/AVERAGING by Junwei Zhang A Dissertation Presented to the FACULTY OF THE USC GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful¯llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (ECONOMICS) August 2013 Copyright 2013 Junwei Zhang |
