CXO

Z-estimators And Auxiliary Information Under Weak Dependence

Date Added: Nov 2010
Format: PDF

In this paper the authors introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small sample properties are checked via Monte Carlo experiments. In this paper the authors introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information under weak dependence1. The weights are estimated by means of Generalized Empirical Likelihood (GEL) from the available auxiliary information expressed in terms of moment functions.