The Indirect Continuum-GMM Estimation

41 Pages Posted: 21 Feb 2012

See all articles by Rachidi Kotchoni

Rachidi Kotchoni

Université Paris Nanterre; African Development Bank

Date Written: February 20, 2012

Abstract

A "curse of dimensionality" arises when one tries to use the GMM based on a continuum of moments conditions to estimate a high dimensional multivariate model. The solution proposed consists of converting the high dimensional model into a continuum of auxiliary univariate models. An indirect continuum estimator is obtained as an optimal weighted average of the solutions to the univariate models. The optimal weighting function is derived and the asymptotic properties of the resulting estimators are examined. An implementation strategy is proposed and illustrated with two simulation studies and an empirical application based on an Autogressive Variance Gamma model.

Keywords: Autoregressive Gamma, Bootstrap, Continuum of Moments Conditions, Covariance Operator, Indirect Inference, Realized Volatility

JEL Classification: C01, C13, C15, C60

Suggested Citation

Kotchoni, Rachidi, The Indirect Continuum-GMM Estimation (February 20, 2012). Available at SSRN: https://ssrn.com/abstract=1529021 or http://dx.doi.org/10.2139/ssrn.1529021

Rachidi Kotchoni (Contact Author)

Université Paris Nanterre ( email )

200 Avenue de la République
Nanterre, Hauts de Seine 92000
France

African Development Bank ( email )

Rue Joseph Anoma
Abidjan, Ivory Coast 01 BP 1387
Ivory Coast (Cote D'ivoire)

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