GMM, MAXIMUM-LIKELIHOOD AND NONPARAMETRIC EFFICIENCY

被引：7

作者：

BACK, K ^{[1
]}

BROWN, DP ^{[1
]}

机构：

[1] INDIANA UNIV,BLOOMINGTON,IN 47401

来源：

ECONOMICS LETTERS | 1992年 / 39卷 / 01期

关键词：

D O I：

10.1016/0165-1765(92)90095-G

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An optimal GMM estimator is shown to be asymptotically equivalent, in an i.i.d. setting, to a maximum likelihood estimator for a certain parametric problem. This helps to explain the nonparametric efficiency of GMM. A new efficiency result is also proven.

引用

页码：23 / 28

页数：6

共 6 条

[1]

Amemiya T, 1986, ADV ECONOMETRICS

[2]

Apostol T.M., 1974, MATH ANAL, Vsecond

[3] ASYMPTOTIC EFFICIENCY IN ESTIMATION WITH CONDITIONAL MOMENT RESTRICTIONS [J].