The indirect continuous-GMM estimation

Rachidi Kotchoni

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 464-488

Abstract: A curse of dimensionality arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high dimensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced information set can be used to produce a consistent estimator of the parameter of interest. An indirect CGMM estimator is obtained by optimally aggregating all such consistent estimators. The simulation results suggest that the indirect CGMM procedure makes an efficient use of the information content of moment restrictions.

Keywords: Conditional moment restriction; Continuum of moment conditions; Covariance operator; Empirical characteristic function; Generalized method of moments; Indirect estimation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Working Paper: The Indirect Continuous-GMM Estimation (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:464-488

DOI: 10.1016/j.csda.2013.09.023

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