Efficient minimum distance estimation with multiple rates of convergence
نویسندگان
چکیده
منابع مشابه
Efficient Minimum Distance Estimation with Multiple Rates of Convergence
This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In addition, we define a convenient rotation in the parameter space (or reparametrization) which permits to dise...
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This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, di erent from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In addition, we de ne a convenient rotation in the parameter space (or reparametrization) to disentangle the di e...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2012
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2012.05.010