Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel

Journal of Econometrics

Volumn 156, Issue 2, 2010, Pages 284-303

  Canay, Ivan A ^a  

^a NORTHWESTERN UNIVERSITY   (United States)

Author keywords

Empirical likelihood bootstrap; Flat top kernels; GMM; Optimal instruments

Indexed keywords

ASYMPTOTIC EFFICIENCY; ASYMPTOTIC VARIANCE; EMPIRICAL LIKELIHOOD; FINITE SAMPLES; FLAT-TOP; FLAT-TOP KERNELS; GENERALIZED METHOD OF MOMENTS; GMM ESTIMATORS; HIGHER ORDER; LINEAR MODEL; MEAN SQUARED ERROR; MONTE CARLO SIMULATION; OPTIMAL NUMBER; TRADE OFF;

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; METHOD OF MOMENTS; MONTE CARLO METHODS; OPTICAL INSTRUMENTS; OPTIMIZATION; SAMPLING;

MAGNETOSTRICTIVE DEVICES;

EID: 77950516612     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.036     Document Type: Article

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