This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data ...
This paper explains why Godambe-Durbin "estimating functions" (EFs) from 1960 are worthy of attention in econometrics. Godambe and Kale (1991) show the failures of Gauss-Markov and least squares and ...
Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.
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