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Generalized Method of Moments and Generalized Estimating Functions Using Characteristic Function

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Document pages: 19 pages

Abstract: GMM inference procedures based on the square of themodulus of the model characteristic function are developed using sample momentsselected using estimating function theory and bypassing the use of empiricalcharacteristic function of other GMM procedures in the literature. Theprocedures are relatively simple to implement and are less simulation-orientedthan simulated methods of inferences yet have the potential of goodefficiencies for models with densities without closed form. The procedures alsoyield better estimators than method of moment estimators for models with morethan three parameters as higher order sample moments tend to be unstable.

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