The Indirect Continuous-GMM Estimation

Rachidi Kotchoni

Working Papers from HAL

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 di- mensional 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 e¢ cient use of the information content of moment restrictions

Keywords: Conditional moment restriction; Continuum of moment conditions; Covari- ance operator; Empirical characteristic function; Generalized method of moments; Indirect estimation (search for similar items in EconPapers)
Date: 2013-09-30
New Economics Papers: this item is included in nep-ecm
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Journal Article: The indirect continuous-GMM estimation (2014)
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