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The Indirect Continuous-GMM Estimation

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  • Rachidi Kotchoni

    () (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

Abstract

A curse of dimensionality arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high di- mensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced information set can be used to produce a consistent estimator of the parameter of interest. An indirect CGMM estimator is obtained by optimally aggregating all such consistent estimators. The simulation results suggest that the indirect CGMM procedure makes an e¢ cient use of the information content of moment restrictions

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  • Rachidi Kotchoni, 2013. "The Indirect Continuous-GMM Estimation," Working Papers hal-00867804, HAL.
  • Handle: RePEc:hal:wpaper:hal-00867804
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00867804
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    References listed on IDEAS

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    Cited by:

    1. Stojanović, Vladica S. & Popović, Biljana Č. & Milovanović, Gradimir V., 2016. "The Split-SV model," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 560-581.

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