Conditional moment estimation of nonlinear equation systems : with an application to an oligopoly model of cooperative R & D

목차 (Table of Contents)

• CONTENTS
• 1 Introduction = 1
• Part Ⅰ Estimation Theory
• 2 The Conditional Moment Approach to GMM Estimation = 6
• 2.1 Estimation Principle = 6
• 2.2 Examples = 8
• 2.3 Two-Step Estimators = 17
• 3 Asymptotic Properties of GMM Estimators = 20
• 3.1 Consistency = 20
• 3.2 Asymptotic Distribution = 25
• 4 Computation of GMM Estimators = 28
• 4.1 The Newton-Raphson Method = 28
• 4.2 A Stopping Rule for Initial Estimators = 30
• 5 Asymptotic Efficiency Bounds = 36
• 5.1 Semiparametric Efficiency = 36
• 5.2 Optimal Weights = 40
• 5.3 Optimal Instruments = 45
• 6 Overidentifying Restrictions = 55
• 6.1 Asymptotic Efficiency Gains = 55
• 6.2 Higher Order Moment Conditions = 60
• 6.3 Moments of Compounded Distributions = 62
• 6.4 Complementary Data Sources = 63
• 7 GMM Estimation with Optimal Weights = 67
• 7.1 Iterative Estimators = 67
• 7.2 Small Sample Shortcomings = 68
• 7.3 Lessons from Ⅳ Estimation = 74
• 7.4 Application to GMM Estimation = 84
• 7.5 Bootstrapping for GMM Estimators = 92
• 7.6 Empirical Likelihood Approaches = 98
• 8 GMM Estimation with Optimal Instruments = 107
• 8.1 Parametric Two-step Estimation = 107
• 8.2 Series Approximation = 112
• 8.3 K-Nearest Neighbor Estimation = 117
• 8.4 Kernel Estimation = 119
• 8.5 Cross-Validation = 121
• 9 Monte Carlo Investigation = 123
• 9.1 GMM versus Maximum Likelihood Estimation = 123
• 9.2 GMM versus Empirical Likelihood Estimation = 144
• Part Ⅱ Application
• 10 Theory of Cooperative R&D = 153
• 10.1 Motivation = 153
• 10.2 Intra-and Inter-Industry R&D Cooperation = 157
• 10.3 Extension to Vertically Related Industries = 161
• 10.4 Horizontal and Vertical R&D Cooperation = 165
• 10.5 Empirical Implications of the Model = 177
• 11 Empirical Evidence on Cooperative R&D = 179
• 11.1 Data = 179
• 11.2 Specification = 183
• 11.3 Estimation Results = 188
• 12 Conclusion = 198
• References = 200