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

Artem Prokhorov

Economics Letters, 2009, vol. 102, issue 1, 4-6

Abstract: Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency [Chamberlain, G., 1984. Panel data. In: Griliches, Z., Intriligator, M.D. (Eds.), Handbook of Econometrics, vol. II, pp. 1248-1313]. 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.

Keywords: GMM; (Q)MLE; Covariance; structures; LISREL; MIMIC; Robustness (search for similar items in EconPapers)
Date: 2009
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