IMPLIED PROBABILITIES IN GMM ESTIMATORS

被引:51
作者
BACK, K [1 ]
BROWN, DP [1 ]
机构
[1] INDIANA UNIV,SCH BUSINESS,DEPT FINANCE,BLOOMINGTON,IN 47405
关键词
D O I
10.2307/2951771
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:971 / 975
页数:5
相关论文
共 6 条
[1]   HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].
ANDREWS, DWK .
ECONOMETRICA, 1991, 59 (03) :817-858
[2]   GMM, MAXIMUM-LIKELIHOOD AND NONPARAMETRIC EFFICIENCY [J].
BACK, K ;
BROWN, DP .
ECONOMICS LETTERS, 1992, 39 (01) :23-28
[3]   ASYMPTOTIC EFFICIENCY IN ESTIMATION WITH CONDITIONAL MOMENT RESTRICTIONS [J].
CHAMBERLAIN, G .
JOURNAL OF ECONOMETRICS, 1987, 34 (03) :305-334
[4]   EFFICIENT CAPITAL-MARKETS .2. [J].
FAMA, EF .
JOURNAL OF FINANCE, 1991, 46 (05) :1575-1617
[5]  
HANSEN LP, 1982, ECONOMETRICA, V50, P1059
[6]  
Manski C. F., 1988, ANALOG ESTIMATION ME