Author:
de Jong Robert,Han Chirok
Abstract
This paper considers generalized method of moment–type
estimators for which a criterion function is minimized that
is not the “standard” quadratic distance measure
but instead is a general Lp
distance measure. It is shown that the resulting estimators
are root-n consistent but not in general asymptotically
normally distributed, and we derive the limit distribution of
these estimators. In addition, we prove that it is not possible
to obtain estimators that are more efficient than the
“usual” L2-GMM estimators
by considering Lp-GMM estimators. We
also consider the issue of the choice of the weight matrix for
Lp-GMM estimators.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
5 articles.
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