GMM, MAXIMUM-LIKELIHOOD AND NONPARAMETRIC EFFICIENCY

被引：7

作者：

BACK, K ^{[1
]}

BROWN, DP ^{[1
]}

机构：

[1] INDIANA UNIV,BLOOMINGTON,IN 47401

来源：

ECONOMICS LETTERS | 1992年 / 39卷 / 01期

关键词：

D O I：

10.1016/0165-1765(92)90095-G

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An optimal GMM estimator is shown to be asymptotically equivalent, in an i.i.d. setting, to a maximum likelihood estimator for a certain parametric problem. This helps to explain the nonparametric efficiency of GMM. A new efficiency result is also proven.

引用

页码：23 / 28

页数：6

共 6 条

[1] Amemiya T, 1986, ADV ECONOMETRICS
[2] Apostol T.M., 1974, MATH ANAL, Vsecond
[3] ASYMPTOTIC EFFICIENCY IN ESTIMATION WITH CONDITIONAL MOMENT RESTRICTIONS
CHAMBERLAIN, G
[J]. JOURNAL OF ECONOMETRICS, 1987, 34 (03) : 305 - 334
[4] LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS
HANSEN, LP
[J]. ECONOMETRICA, 1982, 50 (04) : 1029 - 1054
[5] NONPARAMETRIC ANALOG OF INFORMATION MATRIX/IX
KOSHEVNIK, YA
LEVIT, BY
[J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 1976, 21 (04) : 738 - 753
[6] Rao C.R, 1963, SANKHYA A, VA25, P189

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