Optimal asymptotic least squares estimation in a singular set-up

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up is discussed.

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Year of publication:	2015
Authors:	Diez de los Rios, Antonio
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 128.2015, C, p. 83-86
Publisher:	Elsevier
Subject:	Asymptotic optimality \| Auxiliary parameters \| Minimum distance estimation \| Generalized inverse \| Singular covariance matrix

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011208454