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 ...
In this paper, we introduce the extended method of moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard generalized method of moments (GMM) ...
One of the key assumptions of regression is that the variance of the errors is constant across observations. Correcting for heteroscedasticity improves the efficiency of the estimates. If you had a ...
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