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Improved generalized method of moments estimators for weakly dependent observations

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JournalJournal of Time Series Analysis
DateE-pub ahead of print - 21 Mar 2011
DatePublished (current) - Nov 2011
Issue number6
Volume32
Number of pages19
Pages (from-to)680-698
Early online date21/03/11
Original languageEnglish

Abstract

This article introduces a new class of generalized method of moments estimators for weakly dependent observations with auxiliary information. The estimators are based on a tapered version of blocking techniques similar to the tapered block bootstrap introduced by Paparoditis and Politis (2001), and can efficiently incorporate auxiliary information via a set of weights obtained by the generalized empirical likelihood estimator. Simulations show that the proposed estimators perform well in finite samples, and can be less biased and more precise than other asymptotically equivalent estimators.

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