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 J Smith  

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