On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models

Artem Prokhorov

No 8004, Working Papers from Concordia University, Department of Economics

Abstract: Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency (Chamberlain, 1984). I derive a new condition under which QMLE is as efficient as GMM for a general class of covariance structure models. The condition trivially holds for normal data but also identifies non-normal cases for which Gaussian QMLE is efficient.

Date: 2008-05
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Journal Article: On relative efficiency of quasi-MLE and GMM estimators of covariance structure models (2009)
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