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Large deviations of generalized method of moments and empirical likelihood estimators

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 ...
Kellogg School of Management

Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
JSTOR Daily

Computationally attractive stability tests for the efficient method of moments

This paper develops structural stability tests based on the Efficient Method of Moments for the case of a known breakpoint. Computationally attractive post-sample estimators and test-statistics for ...