Abstract

http://ssrn.com/abstract=57138
 
 

Citations



 


 



An Information-Theoretic Alternative to Generalized Method of Moments Estimation


Michael J. Stutzer


University of Colorado at Boulder - Leeds School of Business

Yuichi Kitamura


Yale University - Cowles Foundation


Econometrica, V.65, No. 4

Abstract:     
While optimally weighted GMM estimation has desirable large sample properties, its small sample performance is poor in some applications. We propose a computationally simple alternative, for weakly dependent data generating mechanisms, based on minimization of the Kullback-Leibler Information Criterion (a.k.a. relative entropy). Conditions are derived under which the large sample properties of this estimator are similar to GMM, i.e. the estimator will be consistent and asymptotically normal, with the same asymptotic covariance matrix as GMM. In addition, we propose overidentifying and parametric restrictions tests as alternatives to GMM procedures.

JEL Classification: C12, C13, C32

Accepted Paper Series





Not Available For Download

Date posted: February 4, 1998  

Suggested Citation

Stutzer, Michael J. and Kitamura, Yuichi, An Information-Theoretic Alternative to Generalized Method of Moments Estimation. Econometrica, V.65, No. 4. Available at SSRN: http://ssrn.com/abstract=57138

Contact Information

Michael Jay Stutzer (Contact Author)
University of Colorado at Boulder - Leeds School of Business ( email )
Boulder, CO 80309-0419
United States
Yuichi Kitamura
Yale University - Cowles Foundation ( email )
Box 208281
New Haven, CT 06520-8281
United States
Feedback to SSRN


Paper statistics
Abstract Views: 578

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.313 seconds