Identification problem of the exponential tilting estimator under misspecification

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 118
Issue: 3
Pages: 509-511

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper shows a potential pitfall of the exponential tilting (ET) estimator under misspecification. We show that the pseudo-true value of the ET estimator is not identified if the true distribution is not absolutely continuous with respect to the probability measures implied by the moment restriction model. This result implies that the ET estimator cannot be consistent for the pseudo-true value if the moment generating function of the moment function is unbounded.

Technical Details

RePEc Handle
repec:eee:ecolet:v:118:y:2013:i:3:p:509-511
Journal Field
General
Author Count
1
Added to Database
2026-01-29