On the Asymptotic Efficiency of GMM
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- Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(02), pages 372-406, April.
- Carrasco, Marine & Florens, Jean-Pierre, 2003. "On the Asymptotic Efficiency of GMM," IDEI Working Papers 173, Institut d'Économie Industrielle (IDEI), Toulouse.
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Cited by:
- Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000.
"Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions,"
IDEI Working Papers
116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
- Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2018_1709, CEMFI.
- Carrasco, Marine & Tchuente, Guy, 2015.
"Regularized LIML for many instruments,"
Journal of Econometrics,
Elsevier, vol. 186(2), pages 427-442.
- Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
- Marine Carrasco & Guy Tchuente, 2015. "Regularized LIML for many instruments," Studies in Economics 1515, School of Economics, University of Kent.
- Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
- Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
- Gospodinov, Nikolay & Otsu, Taisuke, 2012.
"Local GMM estimation of time series models with conditional moment restrictions,"
Journal of Econometrics,
Elsevier, vol. 170(2), pages 476-490.
- Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
More about this item
Keywords
Asymptotic efficiency; GMM; infinity of moment conditions; reproducing kernel Hilbert space; efficiency bound.;JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2004-12-02 (All new papers)
- NEP-ECM-2004-12-02 (Econometrics)
- NEP-ETS-2004-12-02 (Econometric Time Series)
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