Author:
Carrasco Marine,Florens Jean-Pierre
Abstract
This paper proposes a version of the generalized
method of moments procedure that handles both the case
where the number of moment conditions is finite and the
case where there is a continuum of moment conditions. Typically,
the moment conditions are indexed by an index parameter
that takes its values in an interval. The objective function
to minimize is then the norm of the moment conditions in
a Hilbert space. The estimator is shown to be consistent
and asymptotically normal. The optimal estimator is obtained
by minimizing the norm of the moment conditions in the
reproducing kernel Hilbert space associated with the covariance.
We show an easy way to calculate this estimator. Finally,
we study properties of a specification test using overidentifying
restrictions. Results of this paper are useful in many
instances where a continuum of moment conditions arises.
Examples include efficient estimation of continuous time
regression models, cross-sectional models that satisfy
conditional moment restrictions, and scalar diffusion processes.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
165 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献