Efficient Estimation of Moment Condition Models with Heterogenous Populations

Zhiguo Xiao ()

Annals of Economics and Finance, 2011, vol. 12, issue 1, 89-107

Abstract: A wide range of econometric and statistical models are specified through moment conditions. Efficient estimation of such models essentially employs two distinct ideas: optimally combining estimation equations (e.g., the optimal estimating equations of Godambe (1976), the generalized method of moments of Hansen (1982) and the empirical likelihood of Qin and Lawless (1994)), and optimally combining estimators (e.g., the weighted method of moments of Xiao (2010)). This paper extends these methods to moment condition models with heterogeneous populations. Comparison of the finite sample performance of the proposed estimators is conducted through Monte Carlo simulations.

Keywords: Moment condition models; Heterogenous populations; Optimal estimating equations; Generalized method of moments; Weighted method of moments; Empirical likelihood (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://aeconf.com/Articles/May2011/aef120106.pdf (application/pdf)
http://down.aefweb.net/AefArticles/aef120106.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2011:v:12:i:1:p:89-107

Access Statistics for this article

Annals of Economics and Finance is currently edited by Heng-fu Zou

More articles in Annals of Economics and Finance from Society for AEF Contact information at EDIRC.
Bibliographic data for series maintained by Qiang Gao ().