This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data ...
Missing values are endemic in the data sets available to econometricians. This paper suggests a semiparametrically efficient likelihood-based approach to deal with general non-ignorable missing data ...
Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
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