The weighted method of moments approach for moment condition models
AbstractThis paper proposes weighted method of moments for estimating over-identified moment condition models. Weighted method of moments is asymptotically equivalent to, but may have better finite sample properties than generalized method of moments and empirical likelihood.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 107 (2010)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/ecolet
Moment condition models Weighted method of moments Small sample properties;
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