Firm panel data sets over the period 1993 to 2002 are used to estimate translog production functions with labour, capital and material inputs for 9 Spanish food industries. To tackle the endogeneity of the regressors, the generalized method of moments estimations is employed. The specification...

A general theory of efficient estimation for ergodic diffusions sampled at high fre- quency is presented. High frequency sampling is now possible in many applications, in particular in finance. The theory is formulated in term of approximate martingale estimating functions and covers a large...

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...

The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional...

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

Efficient semiparametric estimation of longitudinal causal effects is often analytically or computationally intractable. We propose a novel restricted estimation approach for increasing efficiency, which can be used with other techniques, is straightforward to implement, and requires no...

A simple saddlepoint (SP) approximation for the distribution of generalized empirical likelihood (GEL) estimators is derived. Simulations compare the performance of the SP and other methods such as the Edgeworth and the bootstrap for special cases of GEL: continuous updating, empirical...

In this paper, we test the existence of financial development threshold effects, firstly, between financial development and long-term growth, and, secondly, between financial development and long-term GDP. We also ask whether such effects may explain the link financial development -...

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...

High breakdown-point regression estimators protect against large errors and data contamination. We adapt and generalize the concept of trimming used by many of these robust estimators so that it can be employed in the context of the generalized method of moments. The proposed generalized method...