Method-of-moments estimation and choice of instruments: numerical computations

DOI10.1016/J.ECONLET.2008.01.015MaRDI QIDQ1934859zbMATH OpenOpenAlexFDO

Authors Stanislav Anatolyev

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.01.015

zbMATH Keywords

asymptotic biasasymptotic varianceempirical likelihoodgeneralized method of moments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

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• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
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Cites work

• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Large Sample Properties of Generalized Method of Moments Estimators
• One-Step Estimators for Over-Identified Generalized Method of Moments Models

Cited in

(3)

• scientific article; zbMATH DE number 434952 (Why is no real title available?)
• A method of moments interpretation of sequential estimators
• scientific article; zbMATH DE number 1136444 (Why is no real title available?)

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