Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79291
Authors: 
Smith, Richard J.
Year of Publication: 
2004
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP19/04
Abstract: 
GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kernel function weights which incorporate a bandwidth parameter. Examples for the choice of bandwidth parameter and kernel function are provided. Efficient moment estimators based on implied probabilities derived from the GEL method are proposed, a special case of which is estimation of the stationary distribution of the data. The paper also presents a unified set of test statistics for over-identifying moment restrictions and combinations of parametric and moment restriction hypotheses.
Subjects: 
GMM , Generalized Empirical Likelihood , Efficient Moment Estimation , Overidentifying Moments , Parametric Restrictions , Additional Moment Restrictions
JEL: 
C13
C30
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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