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 languageEnglish
Pages (from-to)4-6
Number of pages3
JournalEconomics Letters
Volume102
Issue number1
DOIs
StatePublished - 1 Jan 2009
Externally publishedYes

    Research areas

  • (Q)MLE, Covariance structures, GMM, LISREL, MIMIC, Robustness

    Scopus subject areas

  • Finance
  • Economics and Econometrics

ID: 36346238