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 article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an ...
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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