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

Optimal GMM is known to dominate Gaussian QMLE in terms of asymptotic efficiency (Chamberlain, 1984). 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.

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Year of publication:	2008-05
Authors:	Prokhorov, Artem
Institutions:	Department of Economics, Concordia University

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 08004
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005032071