A stopping rule for the computation of generalized method of moments estimators.
To obtain consistency and asymptotic normality, a generalized method of moments (GMM) estimator typically is defined to be an approximate global minimizer of a GMM criterion function. To compute such an estimator, however, can be problematic because of the difficulty of global optimization. In con...
| Publicado en: | Econometrica Vol. 65; pp. 913 - 932 |
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| Formato: | Artículo |
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Wiley-Blackwell
July 1997
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| Acceso en línea: | Ver este registro en EBSCOhost |