A stopping rule for the computation of generalized method of moments estimator
Article Abstract:
A stopping rule (SR) computational approach to generalized method of moments (GMM) estimation solves problems of global and local optimization. The approach allows an estimator to determine the extent of the GMM criterion function by evaluating initial estimate values that will satisfy the SR, hence preventing global inspection of the criterion function. It also allows for a choice of weight matrix in an asymptotic distribution pattern and consistent estimates of GMM.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1997
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Exactly median-unbiased estimation of first order autoregressive/unit root models
Article Abstract:
An analysis of estimation models for first order autoregressive/ unit roots is presented. The analysis focuses on models which assume independent identically distributed normal errors and involves those with an intercept, without an intercept and those with an intercept conditioned by time trend. It is shown that unbiased model selection procedures can be applied to studies involving real exchange rates, money velocity and industrial production.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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The limiting distribution of the maximum rank correlation estimator
Article Abstract:
A study was conducted to analyze the distribution range of the maximum rank correlation (MRC) estimator. Results show that the MRC displays consistent square root of n behavior and follows an asymptotically normal distribution. Covariance matrix applications within MRC range can be used for the binary choice model, which exhibits the estimator's inability to reach semiparametric efficiency bounds.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
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