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)90163-1MaRDI QIDQ899741zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• Asymptotic efficiency in estimation with conditional moment restrictions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• 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

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

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