Information in generalized method of moments estimation and entropy-based moment selection

DOI10.1016/j.jeconom.2006.05.006zbMath1418.62459MaRDI QIDQ280214

Alastair R. Hall, Changmock Shin, Kalidas Jana, Atsushi Inoue

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.006

zbMATH Keywords

efficiency; weak identification; long run canonical correlations; near redundancy

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62F10: Point estimation

62B10: Statistical aspects of information-theoretic topics

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