Since L. P. Hansen's (1982) seminal paper, the generalized method of moments (GMM) has become an increasingly important method for estimation and inference in econometrics. This paper examines semiparametric quasi-likelihood approaches. Essentially, these methods embed sample versions of the...

An econometric methodology is proposed for reconciling inaccurate measures of latent data which are subject to accounting constraints. The method deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimation are...

A unified approach to testing for distributional misspecification in parametric limited dependent variable models is described and discussed. The approach involves examining the significance of certain moment-type expressions. A form of the test statistic may be obtained as nR(superscript)2 from...

Estimation of simultaneous-equation, limited dependent variable models is considered. The minimum Chi-squared method is used to compare the asymptotic relative efficiency of marginal and new conditional maximum likelihood estimators for this class of models. Efficient minimum Chi-squared...

A method is presented for generating test statistics that share the same first order asymptotic optimality properties of the classical statistics. Generalizing J. Neyman's work (1959), t he linearized classical statistic tests restrictions in implicit func tion form using a parameter estimator...