GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS

By M. Carrasco, Jean-Pierre Florens. Econometric Theory, 2000

324 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/48a8f7308faa2b43bd2fa46e6d6d655c035b8438

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Citations in the corpus

Estimation of affine asset pricing models using the empirical characteristic function (2001, background): “A similar problem, in a different context, was noted by Carrasco and Florens [1997] in an implementation of a GMM estimator with a continuum of moment conditions.”
Model Checks Using Residual Marked Empirical Processes (2004, methodology): “Similar generalizations of GMM have been considered first in Carrasco and Florens (2000) for i.i.d data. Recently, and for w(It−1, x) = 1(It−1 ≤ x), Domínguez and Lobato (2004) have proposed a particular case of the estimator (11) for a conditional moment restriction under time series. Also recently”
A regularization approach to the many instruments problem (2012, methodology): “A second estimator is the regularized method of moments adopted by Carrasco and Florens (2000).”
ON THE ASYMPTOTIC EFFICIENCY OF GMM (2013, methodology): “Moreover, equations (2.7) and (2.8) hold by Carrasco and Florens (2000).”
Parametric approximations of nonparametric frontiers (2005, methodology): “/ 0 The distribution of this statistics under the null hypothesis is rather complex and has been derived only under the optimal weighting function (see Carrasco and Florens, 2000).”
The MIDAS Touch: Mixed Data Sampling Regression Models (2004, unknown): “1 hold and all other regularity conditions for the CGMM appearing in Carrasco and Florens (2000) hold as well.”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “) ω is any kernel satisfying some regularity conditions (see Carrasco et al. (2007) Appendix A.6) and ST is a bandwidth parameter. Once the covariance operator is estimated, the minimization in equation (24) requires the computation of the inverse of K. Unfortunately, K has typically a countable inf”
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS (2006, methodology): “An asymptotically e¢ cient estimator based on the same minimum distance principle can be constructed following the ideas of Carrasco and Florens (2000). This optimal estimator will require the choice of a regularization parameter needed to invert a covariance operator, see Carrasco and Florens (2000”
Nonparametric Instrumental Regression (2010, unknown): “Florens (2003) proposed to address this question using a Tikhonov regularization approach, which is also used in Carrasco and Florens (2000) to treat GMM estimation with an infinite number of moment conditions.”
Simulation-Based Method of Moments and Efficiency (2002, methodology): “Moments based on the characteristic function also have this property (see Carrasco and Florens 2000b; Carrasco, Chernov, Florens, and Ghysels 2001).”
Empirical Characteristic Function Estimation and Its Applications (2004, unknown): “Furthermore, 1Although we separate the real and imaginary parts for ease of understanding, Carrasco and Florens (2002) argue that this separation is not needed as most software packages allow for operations of complex numbers.”