A Stopping Rule for the Computation of Generalized Method of Moments Estimators
نویسندگان
چکیده
منابع مشابه
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 consequence, practitioners usually ignore the problem and take the GMM estimator to be the result of a...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1997
ISSN: 0012-9682
DOI: 10.2307/2171944