The weighted method of moments approach for moment condition models

This paper proposes weighted method of moments for estimating over-identified moment condition models. Weighted method of moments is asymptotically equivalent to, but may have better finite sample properties than generalized method of moments and empirical likelihood.

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Year of publication:	2010
Authors:	Xiao, Zhiguo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 183-186
Publisher:	Elsevier
Keywords:	Moment condition models Weighted method of moments Small sample properties

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

Persistent link: https://www.econbiz.de/10008551308