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摘要翻译：
在适当的条件下，基于一次差分(FD)变换的一步广义矩量法(GMM)在数值上等同于基于正交偏差(FOD)变换的一步GMM。然而，当时间周期数($t$)不小时，FOD变换所需的计算工作量较小。本文表明，FD和FOD变换的计算复杂度随个体数($N$)线性增加，但FOD变换的计算复杂度随$T$以$T^{4}$增加而增加，而FD变换的计算复杂度则以$T^{6}$增加。仿真结果表明，使用FOD变换的计算比使用FD变换的计算快几个数量级。结果表明，当基于FD变换和FOD变换的一步GMM相同时，如果使用FOD变换的估计器，则蒙特卡罗实验可以更快地进行。
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英文标题：
《Quantifying the Computational Advantage of Forward Orthogonal Deviations》
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作者：
Robert F. Phillips
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Under suitable conditions, one-step generalized method of moments (GMM) based on the first-difference (FD) transformation is numerically equal to one-step GMM based on the forward orthogonal deviations (FOD) transformation. However, when the number of time periods ($T$) is not small, the FOD transformation requires less computational work. This paper shows that the computational complexity of the FD and FOD transformations increases with the number of individuals ($N$) linearly, but the computational complexity of the FOD transformation increases with $T$ at the rate $T^{4}$ increases, while the computational complexity of the FD transformation increases at the rate $T^{6}$ increases. Simulations illustrate that calculations exploiting the FOD transformation are performed orders of magnitude faster than those using the FD transformation. The results in the paper indicate that, when one-step GMM based on the FD and FOD transformations are the same, Monte Carlo experiments can be conducted much faster if the FOD version of the estimator is used.
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PDF链接：
https://arxiv.org/pdf/1808.05995
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