Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator
Monte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.
Volume (Year): 3 (2005)
Issue (Month): 13 ()
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- Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Econometric Society, vol. 66(2), pages 333-358, March.
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