We propose a generalized method of moments approach to the accelerated failure time model with correlated survival data. We study the semiparametric rank estimator using martingale-based moments. We ...
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting ...
Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
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