GMM, maximum likelihood, and nonparametric efficiency

DOI10.1016/0165-1765(92)90095-GzbMath0751.62010OpenAlexW1986770141MaRDI QIDQ1195090

Kerry Back, David P. Brown

Publication date: 5 October 1992

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

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90095-g

zbMATH Keywords

maximum likelihood estimatorasymptotic equivalenceoptimal generalized method of moments estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

A selective review of statistical methods using calibration information from similar studies ⋮ Rejoinder on “A selective review of statistical methods using calibration information from similar studies” ⋮ The role of beliefs in inference for rational expectations models

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Asymptotic efficiency in estimation with conditional moment restrictions
• On a Non-Parametric Analogue of the Information Matrix
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