In this paper we introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small sample properties are checked via Monte Carlo experiments.

Crudu, F. (2010). Z-Estimators and Auxiliary Information under Weak Dependence. CONTRIBUTI DI RICERCA CRENOS(22), 1-30.

Z-Estimators and Auxiliary Information under Weak Dependence

Federico Crudu
2010-01-01

Abstract

In this paper we introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small sample properties are checked via Monte Carlo experiments.
Crudu, F. (2010). Z-Estimators and Auxiliary Information under Weak Dependence. CONTRIBUTI DI RICERCA CRENOS(22), 1-30.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/1119243