The Empirical Saddlepoint Approximation for GMM Estimators
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References listed on IDEAS
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- Sowell, Fallaw, 2009. "The empirical saddlepoint likelihood estimator applied to two-step GMM," MPRA Paper 15494, University Library of Munich, Germany, revised May 2009.
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KeywordsGeneralized method of moments estimator; test of overidentifying restrictions; sampling distribution; empirical saddlepoint approximation; asymptotic distribution;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- 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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