Alternative Semi-Parametric Likelihood Approaches to Generalised Method of Moments Estimation Export

@article{smith:1997:gel, abstract = {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.}, author = {Smith, Richard J.}, citeulike-article-id = {2970383}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2957959}, citeulike-linkout-1 = {http://www.jstor.org/stable/2957959}, doi = {10.2307/2957959}, journal = {The Economic Journal}, keywords = {asymptotics, econometric\_theory, empirical\_likelihood, gmm}, number = {441}, pages = {503--519}, posted-at = {2008-07-07 16:15:58}, priority = {2}, publisher = {Blackwell Publishing for the Royal Economic Society}, title = {Alternative Semi-Parametric Likelihood Approaches to Generalised Method of Moments Estimation}, url = {http://dx.doi.org/10.2307/2957959}, volume = {107}, year = {1997} }

TY - JOUR ID - smith:1997:gel L3 - citeulike-article-id:2970383 N2 - 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. IS - 441 JF - The Economic Journal EP - 519 TI - Alternative Semi-Parametric Likelihood Approaches to Generalised Method of Moments Estimation PB - Blackwell Publishing for the Royal Economic Society VL - 107 SP - 503 KW - asymptotics KW - econometric_theory KW - empirical_likelihood KW - gmm AU - Smith, Richard PY - 1997/// UR - http://dx.doi.org/10.2307/2957959 ER -