GMM and misspecification correction for misspecified models with diverging number of parameters

DOI10.1007/s10255-019-0852-4zbMath1452.62212OpenAlexW2995301308WikidataQ126535030 ScholiaQ126535030MaRDI QIDQ2300520

Lu Lin, Qi Zhang, Kai-Ping Wang, De Li Li

Publication date: 27 February 2020

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-019-0852-4

zbMATH Keywords

high dimensionalitymisspecified modelgeneralized method of moments (GMM)misspecification correction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Point estimation (62F10)

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Uses Software

• Excel

Cites Work

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