EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS

DOI10.1017/S0266466604203048zbMath1059.62021OpenAlexW2128936177MaRDI QIDQ4653560

Manuel Domínguez Toribio, Victor Aguirre-Torres

Publication date: 7 March 2005

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466604203048

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Weighted least squares estimators in possibly misspecified nonlinear regression

Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• Generalized method of moments specification testing
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• The relative efficiency of method of moments estimators
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• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Maximum Likelihood Estimation of Misspecified Models