English, Article, Journal or magazine article edition: On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models Artem Prokhorov

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Bookmark: http://trove.nla.gov.au/version/49245
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models
Author
  • Artem Prokhorov
Physical Description
  • preprint
Notes
  • Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency (Chamberlain, 1984). 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.
  • RePEc:crd:wpaper:08004
Language
  • English
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