A Stopping Rule for the Computation of Generalized Method of Moments Estimators

DOI10.2307/2171944zbMath0899.62101OpenAlexW2124625132MaRDI QIDQ4368518

Donald W. K. Andrews

Publication date: 22 June 1998

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d11/d1120.pdf

zbMATH Keywords

global optimizationconsistencyasymptotic normalitygeneralized method of moments estimatorstopping-rulej-step estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Numerical optimization and variational techniques (65K10) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Exact computation of max weighted score estimators ⋮ An MCMC approach to classical estimation. ⋮ Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models ⋮ GEL METHODS FOR NONSMOOTH MOMENT INDICATORS ⋮ Exact computation of censored least absolute deviations estimator ⋮ Modeling the interdependence of volatility and inter-transaction duration processes. ⋮ Efficient closed-form estimation of large spatial autoregressions ⋮ Extremum estimation and numerical derivatives

This page was built for publication: A Stopping Rule for the Computation of Generalized Method of Moments Estimators