A new class of asymptotically efficient estimators for moment condition models

DOI10.1016/j.jeconom.2011.01.006zbMath1441.62678OpenAlexW2027664595MaRDI QIDQ737904

Yanqin Fan, Tong Li, Matthew Gentry

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.01.006

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05)

Related Items (4)

Inference of local regression in the presence of nuisance parameters ⋮ A new class of tests for overidentifying restrictions in moment condition models ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data ⋮ Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification

Uses Software

• BRENT

Cites Work

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• Maximization by Parts in Likelihood Inference

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