Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency [Chamberlain, G., 1984. Panel data. In: Griliches, Z., Intriligator, M.D. (Eds.), Handbook of Econometrics, vol. II, pp. 1248-1313]. 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.
| Original language | English |
|---|---|
| Pages (from-to) | 4-6 |
| Number of pages | 3 |
| Journal | Economics Letters |
| Volume | 102 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Jan 2009 |
| Externally published | Yes |
ID: 36346238