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

Standard

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 R.; Kyriakoulis, Kostas; Sutton, Matthew.

Manchester, 2012. (Economics discussion paper series; No. EDP-1401).

Research output: Working paper

Harvard

Andrews, M, Elamin, O, Hall, AR, Kyriakoulis, K & Sutton, M 2012 'Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England' Economics discussion paper series, no. EDP-1401, Manchester.

APA

Vancouver

Andrews M, Elamin O, Hall AR, Kyriakoulis K, Sutton M. Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England. Manchester. 2012. (Economics discussion paper series; EDP-1401).

Author

Andrews, Martyn ; Elamin, Obbey ; Hall, Alastair R. ; Kyriakoulis, Kostas ; Sutton, Matthew. / Inference in the Presence of Redundant Moment Conditions and the Impact of Government Health Expenditure on Health Outcomes in England. Manchester, 2012. (Economics discussion paper series; EDP-1401).

Bibtex

@techreport{a3fed3eaf41b469591e7dbdc68c61b01,
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 arevalid 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 estimation 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 outcomesin 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 associated 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.",
keywords = "Generalized Method of Moments, Info-metric estimation, Em pirical Likelihood, Exponential Tilting",
author = "Martyn Andrews and Obbey Elamin and Hall, {Alastair R.} and Kostas Kyriakoulis and Matthew Sutton",
year = "2012",
language = "English",
series = "Economics discussion paper series",
publisher = "University of Manchester",
number = "EDP-1401",
type = "WorkingPaper",
institution = "University of Manchester",

}

RIS

TY - UNPB

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 R.

AU - Kyriakoulis, Kostas

AU - Sutton, Matthew

PY - 2012

Y1 - 2012

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 arevalid 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 estimation 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 outcomesin 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 associated 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 arevalid 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 estimation 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 outcomesin 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 associated 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.

KW - Generalized Method of Moments, Info-metric estimation, Em pirical Likelihood, Exponential Tilting

M3 - Working paper

T3 - Economics discussion paper series

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

CY - Manchester

ER -