Efficient estimation of general dynamic models with a continuum of moment conditions.
There are two difficulties with the implementation of the characteristic function-based estimators. First, the optimal instrument yielding the ML efficiency depends on the unknown probability density function. Second, the need to use a large set of moment conditions leads to the singularity of the c...
| Publicado en: | Journal of Econometrics Vol. 140; no. 2; pp. 529 - 574 |
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| Autores principales: | , , , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
October 2007
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |