In this paper we study a new type of latent model in which only the rank statistics of the depen- dent variable is observed. This problem appears naturally in the microeconometric literature, in particular in the case of the parametric estimation of a production function when the output is...

In this paper, we introduce the concept of covariance estimators. These estimators are obtained by solving the empirical counterpart of some noncorrelation conditions characterizing the interest parameters. The statistical properties of the covariance estimators are studied in a general...

This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only...