Efficient GMM Estimation Using the Empirical Characteristic Function.

Estimation by maximumlikelihood is burdensome for models such that convolutions and stable distributions. Alternatively, we propose to use moments based on the empirical characteristic function. The objective of this paper is to propose an asymptotically efficient estimator.

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Year of publication:	2000
Authors:	Carrasco, M. ; Florens, J.-P.
Subject:	EFFICIENCY \| ECONOMIC MODELS \| DISTRIBUTION

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Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005035855