GEL CRITERIA FOR MOMENT CONDITION MODELS
Richard Smith ()
Econometric Theory, 2011, vol. 27, issue 06, 1192-1235
GEL methods that generalize and extend previous contributions are defined and analyzed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kernel function weights that incorporate a bandwidth parameter. Examples for the choice of bandwidth parameter and kernel function are provided. Efficient moment estimators based on implied probabilities derived from the GEL method are proposed, a special case of which is estimation of the stationary distribution of the data. The paper also presents a unified set of test statistics for overidentifying moment restrictions and combinations of parametric and moment restriction hypotheses.
References: Add references at CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
https://journals.cambridge.org/abstract_S026646661100003X link to article abstract page (text/html)
Working Paper: GEL Criteria for Moment Condition Models (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:06:p:1192-1235_00
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().