GEL Criteria for Moment Condition Models

Richard Smith

No 19/04, CeMMAP working papers from Institute for Fiscal Studies

Abstract: GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that areasymptotically equivalent to their efficient two-step GMM counterparts. The basisfor GEL estimation is via a smoothed version of the moment indicators usingkernel function weights which incorporate a bandwidth parameter. Examples forthe choice of bandwidth parameter and kernel function are provided. Efficient momentestimators based on implied probabilities derived from the GEL method areproposed, a special case of which is estimation of the stationary distribution of thedata. The paper also presents a unified set of test statistics for over-identifyingmoment restrictions and combinations of parametric and moment restriction hypotheses.

Date: 2004-12-01
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:19/04

DOI: 10.1920/wp.cem.2004.1904

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