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)90163-1zbMATH Open1328.62642OpenAlexW1990771096MaRDI QIDQ899741FDOQ899741

Authors: 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

Recommendations

• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• On the asymptotic efficiency of GMM
• GMM with Weak Identification
• Testing Parameters in GMM Without Assuming that They Are Identified
• Asymptotic efficiency in estimation with conditional moment restrictions

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

This page was built for publication: A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q899741)