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On the Asymptotic Efficiency of GMM

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Carrasco, Marine
Florens, Jean-Pierre

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Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 173.

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Date of creation: 2003
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Handle: RePEc:ide:wpaper:1044

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December. [Downloadable!]
  2. Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 71(3), pages 317-322, June. [Downloadable!] (restricted)
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  3. West, Kenneth D, 2001. "On Optimal Instrumental Variables Estimation of Stationary Time Series Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1043-50, November.
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  4. Kim, Yangseon & Qian, Hailong & Schmidt, Peter, 1999. "Efficient GMM and MD estimation of autoregressive models," Economics Letters, Elsevier, vol. 62(3), pages 265-270, March. [Downloadable!] (restricted)
  5. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 482-92, October.
  6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  7. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238. [Downloadable!] (restricted)
  8. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  9. 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!]
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  10. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  11. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March. [Downloadable!] (restricted)
  12. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
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  13. Marine Carrasco ; Jean-Pierre Florens, 2000. "Efficient GMM Estimation Using the Empirical Characteristic Function," Working Papers 2000-33, Centre de Recherche en Economie et Statistique. [Downloadable!]
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  14. Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier. [Downloadable!] (restricted)
  15. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  16. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March. [Downloadable!] (restricted)
  17. Anatolyev, Stanislav, 2007. "Redundancy Of Lagged Regressors Revisited," Econometric Theory, Cambridge University Press, vol. 23(02), pages 364-368, April. [Downloadable!]
  18. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
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  1. 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:
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