GMM, maximum likelihood, and nonparametric efficiency

DOI10.1016/0165-1765(92)90095-GMaRDI QIDQ1195090zbMATH OpenOpenAlexFDO

Authors Kerry Back, David P. Brown

Publication date 5 October 1992

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90095-g

zbMATH Keywords

maximum likelihood estimatorasymptotic equivalenceoptimal generalized method of moments estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• On the asymptotic efficiency of GMM
• On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data
• THE PROPERTIES OF L_p-GMM ESTIMATORS
• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• Conditional moment estimation of nonlinear equation systems

Cites work

• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• scientific article; zbMATH DE number 3188866 (Why is no real title available?)
• Asymptotic efficiency in estimation with conditional moment restrictions
• Large Sample Properties of Generalized Method of Moments Estimators
• On a Non-Parametric Analogue of the Information Matrix

Cited in

(14)

• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• A numerical equivalence result for generalized method of moments
• A note on the inefficiency of non-linear estimators
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Efficiency results of MLE and GMM estimation with sampling weights
• On the asymptotic efficiency of GMM
• The role of beliefs in inference for rational expectations models
• A selective review of statistical methods using calibration information from similar studies
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Rejoinder on “A selective review of statistical methods using calibration information from similar studies”
• \(R\)-estimates vs. GMM: a theoretical case study of validity and efficiency
• High-Order Analysis of the Efficiency Gap for Maximum Likelihood Estimation in Nonlinear Gaussian Models
• On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data
• THE PROPERTIES OF L_p-GMM ESTIMATORS

This page was built for publication: GMM, maximum likelihood, and nonparametric efficiency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1195090)