We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a...

This paper considers the estimation of likelihood-based models in a panel setting. That is, we have panel data, and for each time period separately we have a correctly specified model that could be estimated by MLE. We want to allow non-independence over time. This paper shows how to improve on...

We propose new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules can be interpreted in terms of...