Standard

On relative efficiency of quasi-MLE and GMM estimators of covariance structure models. / Prokhorov, Artem.

In: Economics Letters, Vol. 102, No. 1, 01.01.2009, p. 4-6.

Research output: Contribution to journal › Article › peer-review

Harvard

Prokhorov, A 2009, 'On relative efficiency of quasi-MLE and GMM estimators of covariance structure models', Economics Letters, vol. 102, no. 1, pp. 4-6. https://doi.org/10.1016/j.econlet.2008.08.019

APA

Prokhorov, A. (2009). On relative efficiency of quasi-MLE and GMM estimators of covariance structure models. Economics Letters, 102(1), 4-6. https://doi.org/10.1016/j.econlet.2008.08.019

Vancouver

Prokhorov A. On relative efficiency of quasi-MLE and GMM estimators of covariance structure models. Economics Letters. 2009 Jan 1;102(1):4-6. https://doi.org/10.1016/j.econlet.2008.08.019

Author

Prokhorov, Artem. / On relative efficiency of quasi-MLE and GMM estimators of covariance structure models. In: Economics Letters. 2009 ; Vol. 102, No. 1. pp. 4-6.

BibTeX

@article{f7ea78fe77bb4bf4be1e043cdd6f1f3b,
title = "On relative efficiency of quasi-MLE and GMM estimators of covariance structure models",
abstract = "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.",
keywords = "(Q)MLE, Covariance structures, GMM, LISREL, MIMIC, Robustness",
author = "Artem Prokhorov",
year = "2009",
month = jan,
day = "1",
doi = "10.1016/j.econlet.2008.08.019",
language = "English",
volume = "102",
pages = "4--6",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - On relative efficiency of quasi-MLE and GMM estimators of covariance structure models

AU - Prokhorov, Artem

PY - 2009/1/1

Y1 - 2009/1/1

N2 - 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.

AB - 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.

KW - (Q)MLE

KW - Covariance structures

KW - GMM

KW - LISREL

KW - MIMIC

KW - Robustness

UR - http://www.scopus.com/inward/record.url?scp=58149504275&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2008.08.019

DO - 10.1016/j.econlet.2008.08.019

M3 - Article

AN - SCOPUS:58149504275

VL - 102

SP - 4

EP - 6

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -

ID: 36346238