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

efficient method of momentsgeneralized method ofmaximum likelihoodMonte Carlo

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• The relative efficiency of method of moments estimators
• On the asymptotic efficiency of GMM
• Robust efficient method of moments estimation
• Robust efficient method of moments

Cited in

(12)

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

This page was built for publication: Finite Sample Properties of the Efficient Method of Moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368206)