The chapter discusses generalized method of moments (GMM) estimation methods for spatial models. Much of the discussion is on GMM estimation of Cliff-Ord-type models where spatial interactions are modeled in terms of spatial lags. The chapter also discusses recent developments on GMM estimation from data processes which are spatially α-mixing. I.R. Prucha Department of Economics, University of ...

We develop a GMM estimator for stationary heavy tailed data by trimming an asymptotically vanishing sample portion of the estimating equations. Trimming ensures the estimator is asymptotically normal, and self-normalization implies we do not need to know the rate of convergence. Tail -trimming, however, ensures asymmetric models are covered under rudimentary assumptions about the thresholds, an...

In this paper we propose a class of efficient Generalized Method-of-Moments (GMM) algorithms for computing parameters of the Plackett-Luce model, where the data consists of full rankings over alternatives. Our technique is based on breaking the full rankings into pairwise comparisons, and then computing parameters that satisfy a set of generalized moment conditions. We identify conditions for t...

for some r-dimensional vector of functions m(zi, θ) of the observable data vector zi and possible parameter value θ in some parameter space Θ. Assuming that θ0 is the unique solution of this population moment equation (equivalent to identification when only (*) is imposed), a method-of-moments estimator θ̂ is defined as a solution (or near-solution) of a sample analogue to (*), replacing the pop...

 The ratio of independent random variables arises in many applied problems. In this article, the distribution of the ratio X/Y is studied, when X and Y are independent Rice random variables. Ratios of such random variable have extensive applications in the analysis of noises of communication systems. The exact forms of probability density function (PDF), cumulative distribution function (CDF) a...

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...