A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions

DOI10.1016/0165-1765(86)90163-1zbMath1328.62642OpenAlexW1990771096MaRDI QIDQ899741

George Tauchen

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90163-1

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Utility theory (91B16)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Asymptotic efficiency in estimation with conditional moment restrictions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model

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