Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence

DOI10.1016/j.econlet.2007.09.015zbMath1255.62051OpenAlexW2039565356MaRDI QIDQ1934780

Emma M. Iglesias, Garry D. A. Phillips

Publication date: 29 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.015

zbMATH Keywords

GMMnonstationarityempirical likelihoodweak dependencehigher order asymptotic expansions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• GMM estimation with cross sectional dependence
• A central limit theorem for endogenous locations and complex spatial interactions
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• NONPARAMETRIC ESTIMATION OF THE VARIANCE OF SAMPLE MEANS BASED ON NONSTATIONARY SPATIAL DATA
• GMM, GEL, Serial Correlation, and Asymptotic Bias
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Subsampling Methods to Estimate the Variance of Sample Means Based on Nonstationary Spatial Data With Varying Expected Values
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

This page was built for publication: Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence