05712885

j

05712885 Xiao, Zhiguo The weighted method of moments approach for moment condition models. Econ. Lett. 107, No. 2, 183-186 (2010). 2010 Elsevier Science Publishers B. V. (North-Holland), Amsterdam EN moment condition models weighted method of moments small sample properties

doi:10.1016/j.econlet.2010.01.019

Summary: This paper proposes a weighted method of moments for estimating over-identified moment condition models. The weighted method of moments is asymptotically equivalent to, but may have better finite sample properties than the generalized method of moments and the empirical likelihood.