The weighted method of moments approach for moment condition models
This 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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- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995.
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- Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Levine's Bibliography 321307000000000307, UCLA Department of Economics.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
- Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
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