The ESP estimator

Scientific Conference (2019, October 08)

On solutions to estimating equations and the empirical saddlepoint approximation of their distribution

Scientific Conference (2018, December 15)

The Empirical Saddlepoint Estimator

Scientific Conference (2018, November 28)

On the Empirical Saddlepoint Approximation with Application to Asset Pricing

Scientific Conference (2018, June 11)

The Empirical Saddlepoint Estimator

Scientific Conference (2017, December 17)

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical ... [more ▼]

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical saddlepoint) approximation of the solutions to the empirical moment conditions. Saddlepoint approximations are known to perform well in small sample. The novel estimator proposed, which we call the ESP estimator, is the mode of the ESP approximation. We show that it is consistent and asymptotically normal, and we study its higher-order bias. We propose novel test statistics based on the ESP estimator. Finally, we also investigate the finite-sample properties of the ESP estimator and related test statistics through Monte-Carlo simulations. [less ▲]