A Stopping Rule for the Computation of Generalized Method of Moments Estimators
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- Donald W. K. Andrews, 1997. "A Stopping Rule for the Computation of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 65(4), pages 913-932, July.
References listed on IDEAS
- Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-548, May.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
- Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
- Veall, Michael R, 1990. "Testing for a Global Maximum in an Econometric Context," Econometrica, Econometric Society, vol. 58(6), pages 1459-1465, November.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
- Balázs Cserna, 2008. "Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates," Working Papers 0462, University of Heidelberg, Department of Economics, revised Jan 2008.
- Hong, Han & Mahajan, Aprajit & Nekipelov, Denis, 2015. "Extremum estimation and numerical derivatives," Journal of Econometrics, Elsevier, vol. 188(1), pages 250-263.
- Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(01), pages 74-113, February.
- Florios, Kostas & Skouras, Spyros, 2008. "Exact computation of max weighted score estimators," Journal of Econometrics, Elsevier, vol. 146(1), pages 86-91, September.
- Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
More about this item
KeywordsComputation; generalized method of moments estimator; global optimization; j-step estimator; stopping rule;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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