GEL Criteria for Moment Condition Models

Richard Smith (rjs27@econ.cam.ac.uk)

No CWP19/04, CeMMAP working papers from Centre for Microdata Methods and Practice, 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 are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kernel function weights which incorporate a bandwidth parameter. Examples for the choice of bandwidth parameter and kernel function are provided. Efficient moment estimators based on implied probabilities derived from the GEL method are proposed, a special case of which is estimation of the stationary distribution of the data. The paper also presents a unified set of test statistics for over-identifying moment restrictions and combinations of parametric and moment restriction hypotheses.

Keywords: GMM; Generalized Empirical Likelihood; Efficient Moment Estimation (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
Pages: 56 pp.
Date: 2004-12-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: GEL CRITERIA FOR MOMENT CONDITION MODELS (2011)
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