On relative efficiency of quasi-MLE and GMM estimators of covariance structure models

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 102
Issue: 1
Pages: 4-6

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

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

Abstract

Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency [Chamberlain, G., 1984. Panel data. In: Griliches, Z., Intriligator, M.D. (Eds.), Handbook of Econometrics, vol. II, pp. 1248-1313]. I derive a new condition under which QMLE is as efficient as GMM for a general class of covariance structure models. The condition trivially holds for normal data but also identifies non-normal cases for which Gaussian QMLE is efficient.

Technical Details

RePEc Handle
repec:eee:ecolet:v:102:y:2009:i:1:p:4-6
Journal Field
General
Author Count
1
Added to Database
2026-01-29