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An Information-Theoretic Alternative to Generalized Method of Moments Estimation

Yuichi Kitamura and Michael Stutzer
Econometrica
Vol. 65, No. 4 (Jul., 1997), pp. 861-874
Published by: The Econometric Society
DOI: 10.2307/2171942
Stable URL: http://www.jstor.org/stable/2171942
Page Count: 14
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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Abstract

While optimally weighted GMM estimation has desirable large sample properties, its small sample performance is poor in some applications. We propose a computationally simple alternative, for weakly dependent data generating mechanisms, based on minimization of the Kullback-Leibler Information Criterion. Conditions are derived under which the large sample properties of this estimator are similar to GMM, i.e., the estimator will be consistent and asymptotically normal, with the same asymptotic covariance matrix as GMM. In addition, we propose overidentifying and parametric restrictions tests as alternatives to analogous GMM procedures.

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