This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data ...
Each estimation method is based on finding parameter estimates that minimize a badness-of-fit function that measures the difference between the observed sample covariance matrix and the predicted ...
The column labeled "Instruments" identifies the estimation methods that require instruments. The variables used in this table and the remainder of this chapter are defined as follows: n = is the ...
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