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GEL CRITERIA FOR MOMENT CONDITION MODELS

Published online by Cambridge University Press:  19 September 2011

Richard J. Smith
Richard J. Smith*
Affiliation:
cemmap, U.C.L. and I.F.S. and University of Cambridge
*
*Address correspondence to Richard J. Smith, Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Ave., Cambridge CB3 900, U.K.; email: [email protected].
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Abstract

GEL methods that generalize and extend previous contributions are defined and analyzed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM counterparts. The basis for GEL estimation is via a smoothed version of the moment indicators using kernel function weights that incorporate a bandwidth parameter. Examples for the choice of bandwidth parameter and kernel function are provided. Efficient moment estimators based on implied probabilities derived from the GEL method are proposed, a special case of which is estimation of the stationary distribution of the data. The paper also presents a unified set of test statistics for overidentifying moment restrictions and combinations of parametric and moment restriction hypotheses.

Type
ARTICLES
Information
Econometric Theory , Volume 27 , Issue 6 , December 2011 , pp. 1192 - 1235
Copyright
Copyright © Cambridge University Press 2011

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