The Empirical Saddlepoint Estimator
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Publication:6318893
DOI10.1214/21-EJS1976arXiv1905.06977MaRDI QIDQ6318893FDOQ6318893
Authors: Benjamin Holcblat, Fallaw B. Sowell 
Publication date: 16 May 2019
Abstract: We define a moment-based estimator that maximizes the empirical saddlepoint (ESP) approximation of the distribution of solutions to empirical moment conditions. We call it the ESP estimator. We prove its existence, consistency and asymptotic normality, and we propose novel test statistics. We also show that the ESP estimator corresponds to the MM (method of moments) estimator shrunk toward parameter values with lower estimated variance, so it reduces the documented instability of existing moment-based estimators. In the case of just-identified moment conditions, which is the case we focus on, the ESP estimator is different from the MM estimator, unlike the recently proposed alternatives, such as the empirical-likelihood-type estimators.
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