On uniform asymptotic risk of averaging GMM estimators
Year of publication: |
2019
|
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Authors: | Cheng, Xu ; Liao, Zhipeng ; Shi, Ruoyao |
Published in: |
Quantitative Economics. - New Haven, CT : The Econometric Society, ISSN 1759-7331. - Vol. 10.2019, 3, p. 931-979
|
Publisher: |
New Haven, CT : The Econometric Society |
Subject: | Asymptotic risk | finite-sample risk | generalized shrinkage estimator | GMM | misspecification | model averaging | nonstandard estimator | uniform approximation |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3982/QE711 [DOI] 1671467728 [GVK] hdl:10419/217160 [Handle] |
Classification: | C13 - Estimation ; c36 ; C52 - Model Evaluation and Testing |
Source: |
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On uniform asymptotic risk of averaging GMM estimators
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