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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- Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," Cowles Foundation Discussion Papers 1569, Cowles Foundation for Research in Economics, Yale University.
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