On relative efficiency of quasi-MLE and GMM estimators of covariance structure models

Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency [Chamberlain, G., 1984. Panel data. In: Griliches, Z., Intriligator, M.D. (Eds.), Handbook of Econometrics, vol. II, pp. 1248-1313]. I derive a new condition under which QMLE is as efficient as GMM for a general class of covariance structure models. The condition trivially holds for normal data but also identifies non-normal cases for which Gaussian QMLE is efficient.

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Year of publication:	2009
Authors:	Prokhorov, Artem
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 1, p. 4-6
Publisher:	Elsevier
Keywords:	GMM (Q)MLE Covariance structures LISREL MIMIC Robustness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005296315