Method-of-moments estimation and choice of instruments: numerical computations

DOI10.1016/J.ECONLET.2008.01.015zbMath1255.62336OpenAlexW2000720173MaRDI QIDQ1934859

Stanislav Anatolyev

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.2008.01.015

zbMATH Keywords

asymptotic biasgeneralized method of momentsasymptotic varianceempirical likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric estimation (62G05)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• GMM, GEL, Serial Correlation, and Asymptotic Bias

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