skip to content

Faculty of Economics

Journal Cover

Smith, R. J.

GEL criteria for moment condition models

Econometric Theory

Vol. 27(6) pp. 1192-1235 (2011)

Abstract: GEL methods that generalize and extend previous contributions are defined and analyzed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kernel function weights that incorporate a bandwidth parameter. Examples for the choice of bandwidth parameter and kernel function are provided. Efficient moment estimators based on implied probabilities derived from the GEL method are proposed, a special case of which is estimation of the stationary distribution of the data. The paper also presents a unified set of test statistics for overidentifying moment restrictions and combinations of parametric and moment restriction hypotheses

Author links: Richard Smith  

Publisher's Link: http://search.proquest.com/docview/906077555/13FD745F376739DDD97/3?accountid=9851



Papers and Publications



Recent Publications


Galeotti, A., Golub, B. and Goyal, S. Targeting Interventions in Networks Econometrica [2020]

Carvalho, V. M., Nirei, M., Saito, Y. U. and Tahbaz-Salehi, A. Supply Chain Disruptions: Evidence from the Great East Japan Earthquake Quarterly Journal of Economics, forthcoming [2021]

Elliott, M., Georg, C-P. and Hazell, J. Systemic Risk Shifting in Financial Networks Journal of Economic Theory [2021]

Dziubinski, M., Goyal, S. and Minarsch, D. E. N. The Strategy of Conquest Journal of Economic Theory, forthcoming [2020]