Optimally-Transported Generalized Method of Moments

IF 6.2 1区经济学 Q1 ECONOMICS

Econometrica Pub Date : 2026-04-01 DOI:10.3982/ECTA22486

Susanne Schennach, Vincent Starck

引用次数: 0

Abstract

We propose a novel optimal transport-based version of the Generalized Method of Moment (GMM). Instead of handling overidentification by reweighting the data to satisfy the moment conditions (as in Generalized Empirical Likelihood methods), this method proceeds by allowing for errors in the variables of the least mean-square magnitude necessary to simultaneously satisfy all moment conditions. This approach, based on the notions of optimal transport and Wasserstein metric, aims to address the problem of assigning a logical interpretation to GMM results even when overidentification tests reject the null, a situation that cannot always be avoided in applications. We illustrate the method by revisiting Duranton, Morrow and Turner's (2014) study of the relationship between a city's exports and the extent of its transportation infrastructure. Our results corroborate theirs under weaker assumptions and provide insight into the error structure of the variables.

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矩的最优传递广义方法

我们提出了一种新的基于最优传输的广义矩法（GMM）。该方法不是通过重新加权数据来满足力矩条件（如广义经验似然方法）来处理过度识别，而是允许同时满足所有力矩条件所需的最小均方量级的变量中的误差。这种方法基于最优传输和Wasserstein度量的概念，旨在解决即使在过度识别测试拒绝null的情况下，也要对GMM结果分配逻辑解释的问题，这种情况在应用程序中总是无法避免。我们通过回顾Duranton， Morrow和Turner（2014）对城市出口与其交通基础设施程度之间关系的研究来说明这种方法。我们的结果在较弱的假设下证实了他们的假设，并提供了对变量误差结构的洞察。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrica 社会科学-数学跨学科应用

CiteScore

11.00

自引率

3.30%

发文量

审稿时长

6-12 weeks

期刊介绍： Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.