Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67873
Authors: 
Gregory, Allan W.
Lamarche, Jean-Francois
Smith, Gregor W.
Year of Publication: 
2001
Series/Report no.: 
Queen's Economics Department Working Paper 1249
Abstract: 
This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare KLIC and GMM estimators in macroeconomic applications, in which preference parameters are estimated with aggregate data. KLIC probability measures serve as useful diagnostics. In dependent data, tests of overidentifying restrictions in the KLIC framework have size properties comparable to those of the J-test in iterated GMM, but superior size-adjusted power.
Subjects: 
KLIC estimation
generalized method of moments
Monte Carlo
JEL: 
C13
C14
E21
Document Type: 
Working Paper

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