Search Results - subject:"Local Cressie-Read Minimum Discrepancy"

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10010318448

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

weighting of the Cressie-Read power divergence family of discrepancies. We term the consequent estimators local Cressie-Read … minimum discrepancy (MD) esti- mators. We show that local Cressie-Read MD estimators are asymptotically first order equivalent …

Persistent link: https://www.econbiz.de/10005811463