Asymptotic efficiency in estimation with conditional moment restrictions

Keywords

Multinomial distribution, Mathematics, Independent and identically distributed random variables, Parametric statistics, Conditional probability distribution

References

• Local asymptotic minimax and admissibility in estimationJaroslav Hájek — 1972
• Using Information on the Moments of Disturbances to Increase the Efficiency of EstimationThomas MaCurdy — 1982
• Instrumental Variables Regression with Independent ObservationsHalbert White — 1982
• NEARLY EFFICIENT ESTIMATION OF TIME SERIES MODELS WITH PREDETERMINED, BUT NOT EXOGENOUS, INSTRUMENTSFumio Hayashi, Christopher Sims — 1983
• Partially generalized least squares and two-stage least squares estimatorsTakeshi Amemiya — 1983
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• Adaptive estimation of non–linear regression modelsCharles F. Manski — 1984
• Multivariate regression models for panel dataGary Chamberlain — 1982
• Local Asymptotic Normality for Non-Identically Distributed ObservationsИ. А. Ибрагимов, R. Z. Has’minskiĭ — 1976
• LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OFLars Peter Hansen — 1982
• A Method of Generating Best Asymptotically Normal Estimates with Application to the Estimation of Bacterial DensitiesThomas S. Ferguson — 1958
• The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation ModelTakeshi Amemiya — 1977
• Using Least Squares to Approximate Unknown Regression FunctionsHalbert White — 1980
• The nonlinear two-stage least-squares estimatorTakeshi Amemiya — 1974
• MORE EFFICIENT ESTIMATION IN THE PRESENCE OF HETEROSCEDASTICITY OF UNKNOWN FORMJohn G. Cragg — 1983
• Generalized Least Squares with an Estimated Autocovariance MatrixTakeshi Amemiya — 1973
• CLOSEST EMPIRICAL DISTRIBUTION ESTIMATIONCharles F. Manski — 1983
• Contiguity of Probability MeasuresDavid John Scott — 1982
• On unification of the asymptotic theory of nonlinear econometric modelsJosé F. Burguete, A. Ronald Gallant, Geraldo da Silva e Souza — 1982
• The behavior of maximum likelihood estimates under nonstandard conditionsPeter J. Huber — 1967

Cited by

• Measuring “Dark Matter” in Asset Pricing ModelsHui Chen, Winston Wei Dou, Leonid Kogan — 2019
• Approximately Optimal Instrument for Multiperiod Conditional Moment RestrictionsStanislav Anatolyev, Yuichi Kitamura, Russel Davidson — 2003
• Three essays on specification testingXuexin Wang — 2012
• Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund marketR. Castilho — 2013
• Régularisation de problèmes inverses linéaires avec opérateur inconnuPaul Rochet — 2011
• Conditional Empirical Likelihood Approach to Statistical Analysis with Missing Data.Peisong Han — 2013
• Efficient estimation in missing data and survey sampling problemsSixia Chen — 2012
• Exogeneity in Semiparametric Models: Definitions and TestsRichard J. Smith — 2006
• Risk-related asymmetries in foreign exchange marketsG. Gallo, B. Pacini — 1995
• Semiparametric Efficiency of GMM under Approximate ConstraintsPaul Rochet — 2010
• Three Essays on the US Ready-to-Eat Cereal IndustryChen Zhu — 2013
• Three Essays in the Economics of Food MarketingXun Li — 2014
• Panelökonometrische Modelle für Zähldaten: Einige neuere SchätzverfahrenWinfried Pohlmeier — 1994
• Moment Condition Models in Empirical EconomicsDe Almeida Duarte Lopes Riscado, Sara María — 2012
• Generalized Method of Moments Estimation: A Time Series PerspectiveLars Peter Hansen — 2007
• Essays in econometrics and entrepreneurshipNguimkeu Nguedia, Pierre Evariste — 2012
• Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial DataBent Jesper Christensen, Olaf Posch, Michel van der Wel — 2011
• Essays in semiparametric econometrics and panel data analysisMartin Burda — 2007
• Exogeneity in semiparametric moment condition modelsPaulo Parente, Richard J. Smith — 2012
• Constrained nonparametric dependence with application in financePatrick Gagliardini — 2003

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