Generalized moment based estimation and inference

DOI10.1016/S0304-4076(01)00116-6MaRDI QIDQ1858930zbMATH OpenOpenAlexFDO

Authors Marco van Akkeren, George G. Judge, Ron C. Mittelhammer

Publication date 17 February 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00116-6, http://fmwww.bc.edu/RePEc/es2000/0073.pdf

zbMATH Keywords

balanced-dual estimating functionsempirical likelihoodextended estimating equationgeneralized method of momentsill-conditioned matricesKullback-Leibler information criterionmethod of momentssemiparametric models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Cites work

• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• An Optimum Property of Regular Maximum Likelihood Estimation
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Empirical likelihood and general estimating equations
• Empirical likelihood for linear models
• Empirical likelihood is Bartlett-correctable
• Empirical likelihood ratio confidence intervals for a single functional
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• Information Theoretic Approaches to Inference in Moment Condition Models
• Linear models. Least squares and alternatives
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• Robust Statistics

Cited in

(9)

• Generalized method of trimmed moments
• Generalized maximum entropy analysis of the linear simultaneous equations model
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• Generalized moment estimation of stochastic differential equations
• scientific article; zbMATH DE number 4102288 (Why is no real title available?)
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Using moment constraints in GME estimation
• Entropy: the Markov ordering approach
• Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known

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