How to weight in moments matchings : a new approach and applications to earnings dynamics

Xu Cheng, Alejandro Sánchez-Becerra, Andrew Shephard

Year of publication:	June 25, 2023
Authors:	Cheng, Xu ; Sánchez-Becerra, Alejandro ; Shephard, Andrew
Publisher:	Philadelphia, PA : Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Subject:	cross fitting \| covariance structure model \| earnings dynamics \| graphicallasso \| many moments \| minimum distance estimation \| weighting matrix \| Schätztheorie \| Estimation theory \| Momentenmethode \| Method of moments \| Korrelation \| Correlation \| Schätzung \| Estimation

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