The weighted method of moments approach for moment condition models

Zhiguo Xiao ()

Economics Letters, 2010, vol. 107, issue 2, 183-186

Abstract: This paper proposes weighted method of moments for estimating over-identified moment condition models. Weighted method of moments is asymptotically equivalent to, but may have better finite sample properties than generalized method of moments and empirical likelihood.

Keywords: Moment; condition; models; Weighted; method; of; moments; Small; sample; properties (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:183-186

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