The relative efficiency of method of moments estimators

DOI10.1016/S0304-4076(98)00088-8zbMath0956.62030OpenAlexW1999415206MaRDI QIDQ1302762

George Tauchen, A. Ronald Gallant

Publication date: 11 March 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00088-8

zbMATH Keywords

efficient method of momentssimulation estimatorsauction dataconventional method of momentsfinancial market data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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