ON THE ASYMPTOTIC EFFICIENCY OF GMM

DOI10.1017/S0266466613000340zbMath1314.62080MaRDI QIDQ2878813

Marine Carrasco, Jean-Pierre Florens

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (14)

Econometric estimation with high-dimensional moment equalities ⋮ The empirical saddlepoint estimator ⋮ Compressive statistical learning with random feature moments ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ Efficient estimation of general dynamic models with a continuum of moment conditions ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ Testing distributional assumptions using a continuum of moments ⋮ Regularized LIML for many instruments ⋮ Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects ⋮ Local GMM estimation of time series models with conditional moment restrictions ⋮ Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Semi-Nonparametric Maximum Likelihood Estimation
• Information in generalized method of moments estimation and entropy-based moment selection
• Efficient estimation of general dynamic models with a continuum of moment conditions
• A regularization approach to the many instruments problem
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Gaussian measures in Banach spaces
• Asymptotic efficiency in estimation with conditional moment restrictions
• Quasi-likelihood models and optimal inference
• An efficiency result for the empirical characteristic function in stationary time-series models
• SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
• The foundations of finite sample estimation in stochastic processes
• A Consistent Conditional Moment Test of Functional Form
• Asymptotic Statistics
• Estimating stochastic differential equations efficiently by minimum chi-squared
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Choosing the Number of Instruments
• Constrained Indirect Estimation
• A characterization of limiting distributions of regular estimates
• Note on covariance operators of probability measures on a Hilbert space
• An Optimum Property of Regular Maximum Likelihood Estimation
• Application of convolution theorems in semiparametric models with non-i. i. d. data
• Estimation of affine asset pricing models using the empirical characteristic function
• Optimal instrumental variables estimation for ARMA models

This page was built for publication: ON THE ASYMPTOTIC EFFICIENCY OF GMM