The class of composite likelihood functions provides a flexible and powerful toolkit to carry out approximate inference for complex statistical models when the full likelihood is either impossible to specify or unfeasible to compute. However, the strength of the composite likelihood approach is...

Procedures based on the Generalized Method of Moments (GMM) (Hansen, 1982) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic...

Procedures based on the Generalized Method of Moments (GMM) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic distribution does not...