Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in EnglandCitation formats

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Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England. / Andrews, Martyn; Elamin, Obbey; Hall, Alastair; Kyriakoulis, Kostas; Sutton, Matthew.

In: Econometric Reviews, Vol. 36, No. 1, 2017, p. 23-41.

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@article{292d72984da74d51b10e85bbf21526ea,
title = "Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England",
abstract = "In his 1999 paper with Breusch, Qian and Wyhowski in the Journal of Econometrics, Peter Schmidt introduced the concept of “redundant” moment conditions. Such conditions arise when estimation is based on moment conditions that are valid and can be divided into two sub-sets: one that identifies the parameters and another that provides no further information. Their framework highlights an important concept in the moment-based esti- mation literature namely, that not all valid moment conditions need be informative about the parameters of interest. In this paper, we demonstrate the empirical relevance of the concept in the context of the impact of government health expenditure on health outcomes in England. Using a simulation study calibrated to this data, we perform a comparative study of the finite performance of inference procedures based on Generalized Method of Moment (GMM) and info-metric (IM) estimators. The results indicate that the properties of GMM procedures deteriorate as the number of redundant moment conditions increases; in contrast the IM methods provide reliable point estimators but the performance of as- sociated inference techniques based on first order asymptotic theory, such as confidence intervals and overidentifying restriction tests, deteriorates as the number of redundant mo- ment conditions increases. However, for IM methods, it is shown that bootstrap procedures can provide reliable inferences; we illustrate such methods when analysing the impact of government health expenditure on health outcomes in England.",
author = "Martyn Andrews and Obbey Elamin and Alastair Hall and Kostas Kyriakoulis and Matthew Sutton",
note = "This work was performed as part of a project entitled “Towards Improved Inferences in Health Economics Analyses Using Moment-Based Econometric Methods” supported by the National Insti- tute of Health Research (NIHR) Research Methods Funding Scheme.",
year = "2017",
doi = "10.1080/07474938.2016.1114205",
language = "English",
volume = "36",
pages = "23--41",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor & Francis",
number = "1",

}

RIS

TY - JOUR

T1 - Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England

AU - Andrews, Martyn

AU - Elamin, Obbey

AU - Hall, Alastair

AU - Kyriakoulis, Kostas

AU - Sutton, Matthew

N1 - This work was performed as part of a project entitled “Towards Improved Inferences in Health Economics Analyses Using Moment-Based Econometric Methods” supported by the National Insti- tute of Health Research (NIHR) Research Methods Funding Scheme.

PY - 2017

Y1 - 2017

N2 - In his 1999 paper with Breusch, Qian and Wyhowski in the Journal of Econometrics, Peter Schmidt introduced the concept of “redundant” moment conditions. Such conditions arise when estimation is based on moment conditions that are valid and can be divided into two sub-sets: one that identifies the parameters and another that provides no further information. Their framework highlights an important concept in the moment-based esti- mation literature namely, that not all valid moment conditions need be informative about the parameters of interest. In this paper, we demonstrate the empirical relevance of the concept in the context of the impact of government health expenditure on health outcomes in England. Using a simulation study calibrated to this data, we perform a comparative study of the finite performance of inference procedures based on Generalized Method of Moment (GMM) and info-metric (IM) estimators. The results indicate that the properties of GMM procedures deteriorate as the number of redundant moment conditions increases; in contrast the IM methods provide reliable point estimators but the performance of as- sociated inference techniques based on first order asymptotic theory, such as confidence intervals and overidentifying restriction tests, deteriorates as the number of redundant mo- ment conditions increases. However, for IM methods, it is shown that bootstrap procedures can provide reliable inferences; we illustrate such methods when analysing the impact of government health expenditure on health outcomes in England.

AB - In his 1999 paper with Breusch, Qian and Wyhowski in the Journal of Econometrics, Peter Schmidt introduced the concept of “redundant” moment conditions. Such conditions arise when estimation is based on moment conditions that are valid and can be divided into two sub-sets: one that identifies the parameters and another that provides no further information. Their framework highlights an important concept in the moment-based esti- mation literature namely, that not all valid moment conditions need be informative about the parameters of interest. In this paper, we demonstrate the empirical relevance of the concept in the context of the impact of government health expenditure on health outcomes in England. Using a simulation study calibrated to this data, we perform a comparative study of the finite performance of inference procedures based on Generalized Method of Moment (GMM) and info-metric (IM) estimators. The results indicate that the properties of GMM procedures deteriorate as the number of redundant moment conditions increases; in contrast the IM methods provide reliable point estimators but the performance of as- sociated inference techniques based on first order asymptotic theory, such as confidence intervals and overidentifying restriction tests, deteriorates as the number of redundant mo- ment conditions increases. However, for IM methods, it is shown that bootstrap procedures can provide reliable inferences; we illustrate such methods when analysing the impact of government health expenditure on health outcomes in England.

U2 - 10.1080/07474938.2016.1114205

DO - 10.1080/07474938.2016.1114205

M3 - Article

VL - 36

SP - 23

EP - 41

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 1

ER -