Optimal asymptotic least squares estimation in a singular set-up

Antonio Diez de los Rios

Economics Letters, 2015, vol. 128, issue C, 83-86

Abstract: In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up is discussed.

Keywords: Asymptotic optimality; Auxiliary parameters; Minimum distance estimation; Generalized inverse; Singular covariance matrix (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:128:y:2015:i:c:p:83-86

DOI: 10.1016/j.econlet.2015.01.006

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