The Empirical Saddlepoint Approximation for GMM Estimators
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References listed on IDEAS
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Cited by:
- Sowell, Fallaw, 2009. "The empirical saddlepoint likelihood estimator applied to two-step GMM," MPRA Paper 15494, University Library of Munich, Germany, revised May 2009.
- Luis Quintero, "undated". "MCMC Approach to Classical Estimation with Overidentifying Restrictions," GSIA Working Papers 2013-E13, Carnegie Mellon University, Tepper School of Business.
- Ronchetti, Elvezio, 2020. "Accurate and robust inference," Econometrics and Statistics, Elsevier, vol. 14(C), pages 74-88.
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More about this item
Keywords
Generalized method of moments estimator; test of overidentifying restrictions; sampling distribution; empirical saddlepoint approximation; asymptotic distribution;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-06-11 (Econometrics)
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