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Keyword: method of moments;

3 results found.

Econometrics Paper

A method of moments estimator for semiparametric index models

Bas Donkers and Marcia M Schafgans

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonpa...Read more...

July 2005

Econometrics Paper

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

Steve Berry, Oliver Linton and Ariel Pakes

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number...Read more...

July 2000

Econometrics Paper

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is based on treating the variance as an unobservable variable, the logarithm of which is modelled as a li...Read more...

1992