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Efficient GMM Estimation Using the Empirical Characteristic Function

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Author Info
Marine Carrasco ; Jean-Pierre Florens (Crest)

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File URL: http://www.crest.fr/content/blogcategory/21/54/
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Publisher Info
Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2000-33.

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Date of creation: 2000
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Handle: RePEc:crs:wpaper:2000-33

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Keywords: optimal matching;

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  1. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society. [Downloadable!]
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  2. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002. [Downloadable!]
    Other versions:
  3. GARCIA, RenŽ & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  4. Darolles, Serge & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    Other versions:
  5. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
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