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...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 140; no. 2; pp. 529 - 574
Main Authors:	Carrasco, Marine, Chernov, Mikhail, Florens, Jean-Pierre, Ghysels, Eric
Format:	Article
Published:	Elsevier Science October 2007
Subjects:	Estimation theory Moments method (Statistics)
Online Access:	View this record in EBSCOhost