Journal article
Gel criteria for moment condition models
RJ Smith
Econometric Theory | CAMBRIDGE UNIV PRESS | Published : 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 distri..
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Awarded by ESRC
Funding Acknowledgements
I am grateful for the constructive comments and criticisms by a co-Editor and referee on previous drafts. Earlier versions of this paper were presented at the London School of Economics, Seminaire Malinvaud, CREST-INSEE, Montreal Econometrics Seminar, Tinbergen Seminar, University of Amsterdam, and Cowles Foundation Conference on "New Developments in Time Series Econometrics," Yale University, for which Y. Kitamura was discussant. This paper has also benefited from collaboration with W.K. Newey on joint work and comments by P. Guggenberger, Y. Li, P.M.D.C. Parente, and C.D. Orme. Of course, the aforementioned are not culpable for any remaining errors. I am also grateful for financial support of this research from the ESRC (grant no. R000237386) and a 2002 Leverhulme Major Research Fellowship. Address correspondence to Richard J. Smith, Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Ave., Cambridge CB3 900, U.K.; email: rjs27@econ.cam.ac.uk.