This paper considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments ...

This paper proposes a simple test for global identi…cation of Generalized Method of Moments (GMM) estimators in models de…ned by conditional moment restrictions. The test is based on comparing two estimators, one which is always consistent, even under global identi…cation failure of the unconditional model, and the GMM estimator. It is shown that the test is able to detect Pitman alternatives, ...

 Minimax estimation problems with restricted parameter space reached increasing interest within the last two decades Some authors derived minimax and admissible estimators of bounded parameters under squared error loss and scale invariant squared error loss In some truncated estimation problems the most natural estimator to be considered is the truncated version of a classic...

In this paper, we establish some recurrence relations for single and product moments of generalized order statistics from pth order exponential distribution. Further the results are deduced for the recurrence relations of record values and ordinary order statistics and using a recurrence relation for single moments we obtain characterization of pth order exponential distribution.

This paper proposes a robust moment selection method aiming to pick the best model even if this is condition with mixed identification strength, that is, conditions including functions are local zero uniformly over parameter set. We show relevant procedure of Hall et al. (2007, Journal Econometrics 138, 488–512) inconsistent in setting as it does not explicitly account for rate convergence esti...

T he investigation of exchange rate pass-through is an important issue in international finance. The relationship between exchange rate pass-through and exchange rate arrangements such as the dollarization regime has been examined in recent decades. For this purpose, the main objective of this study is to investigate the effect of exchange rate pass-through on the domestic inflation in selecte...

Signal to noise ratio (SNR) estimators are required for many radio engineering applications. In this paper, a SNR estimator based on the first and second order moments is derived and examined for constant envelope modulations over additive white Gaussian noise (AWGN) channel. Firstly, a modification method is proposed to reduce the bias of conventional first and second order moments based SNR e...