Finite Sample Properties of the Efficient Method of Moments

DOI10.2202/1558-3708.1028MaRDI QIDQ3368206zbMATH OpenOpenAlexFDO

Authors Rómulo A. Chumacero

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1028

zbMATH Keywords

maximum likelihoodMonte Carloefficient method of momentsgeneralized method of

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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(10)

• Empirical method of moments and its applications
• Cross-validated SNP density estimates
• Generalized method of moments and inverse control
• The relative efficiency of method of moments estimators
• EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
• Robust efficient method of moments estimation
• Efficient derivative pricing by the extended method of moments
• Indirect inference in fractional short-term interest rate diffusions
• Technological heterogeneity and corporate investment
• Indirect inference based on the score

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