Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence?

Iglesias, Emma M. and Phillips, Garry David Alan 2008. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence? Economic Letters 99 (2) , pp. 393-397. 10.1016/j.econlet.2007.09.015

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Abstract

Newey and Smith [Newey, W.K., Smith, R.J., 2004. Higher order properties of GMM and empirical likelihood estimators. Econometrica 72, 219–255] analyzed the second order biases of GMM and GEL estimators under independence. Anatolyev [Anatolyev, S., 2005. GMM, GEL, serial correlation, and asymptotic bias. Econometrica 73 (3), 983–1002] extended the result to the case of stationarity with serial correlation and strong mixing. We generalize the two previous papers by assuming a weaker dependence assumption and possible nonstationarity.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Uncontrolled Keywords:	GMM; Empirical likelihood; Higher order asymptotic expansions; Nonstationarity; Weak dependence.
Publisher:	Elsevier
ISSN:	0165-1765
Last Modified:	19 Oct 2019 02:29
URI:	https://orca.cardiff.ac.uk/id/eprint/17840

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