Alternative Semi‐parametric Likelihood Approaches to Generalised Method of Moments Estimation
Bibliographic Data
| ID | 9717564 |
|---|---|
| Authors | Richard J Smith (0000-0002-6340-0656, University of Bristol, corresponding author) |
| Year | 1997 |
| Volume | 107 |
| Issue | 441 |
| Pages | 503-519 |
| Publication date | 1997-03-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.0013-0133.1997.174.x |
| OpenAlex | W1969201566 |
| Language | EN |
| Citations received | 11 |
| References cited | 3 |
Since Hansen's (1982) seminal paper, the generalised method of moments (GMM) has become an increasingly important method for estimation and inference in econometrics. This paper examines alternative semi‐parametric quasi‐likelihood approaches. Essentially, these methods embed sample versions of the moment conditions used in GMM in a non‐parametric quasi‐likelihood function by use of additional parameters associated with these moment conditions. Specification and misspecification tests may be defined which are similar in nature to the classical tests and are first‐order equivalent to the corresponding GMM statistics. The structure of the semi‐parametric quasi‐maximum likelihood estimator is explored for models estimated by instrumental variables
Econometrics · Empirical likelihood · Estimator · Generalized method of moments · Inference · Instrumental variable · Likelihood function · Maximum likelihood · Method of moments (probability theory · Moment (physics · Parametric model · Parametric statistics · Restricted maximum likelihood · Statistics · Applied Mathematics · Artificial Intelligence · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference
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Estimating Firm Size Elasticities of Product and Process R&D
The Political Budget Cycle and Subnational Debt Expenditures in Federations
| Unique citing works | 11 |
|---|---|
| Citations per year | 0,46 |
| Citation span | 2002 - 2026 (25) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 11 |