Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics
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- Andrews, Donald W.K., 2002. "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1040-1085, October.
References listed on IDEAS
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- Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
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1063, Queen's University, Department of Economics.
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More about this item
KeywordsAsymptotics; Edgeworth expansion; extremum estimator; Gauss-Newton; higher-order efficiency; Newton-Raphson.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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