Using Godambe-durbin Estimating Functions in Econometrics
نویسنده
چکیده
This paper explains why Godambe-Durbin \estimating functions" (EFs) from 1960 are worthy of attention in econometrics. Godambe and Kale (1991) show the failures of Gauss-Markov and least squares and prove the small-sample superiority of EFs. There are many areas of Econometrics including unit root estimation, generalized method of moments (GMM), panel data models, etc., which can use some simpliication, a little greater emphasis on nite sample properties and greater exibility. We show why statistical inference using the EFs in conjunction with the bootstrap can be superior. For example, compared to the GMM, our EF estimates of thèrisk aversion parameter' are economically more meaningful and have shorter bootstrap conndence intervals.
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