Asymptotic Equivalence of Closest Moments and GMM Estimators

B-Tier
Journal: Econometric Theory
Year: 1988
Volume: 4
Issue: 2
Pages: 336-340

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This note considers an asymptotic property of the class of closest moments estimators. Each such estimator is obtained by setting a vector of sample moments close to corresponding population moments. It is shown that each such estimator is asymptotically equivalent to a GMM estimator, which has a quadratic distance function. An implication of this result is that the estimator that is asymptotically efficient in the GMM class is also asymptotically efficient in the wider class of closest moment estimators.

Technical Details

RePEc Handle
repec:cup:etheor:v:4:y:1988:i:02:p:336-340_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-26