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Optimal Asymptotic Least Squares Estimation In a Singular Set-Up

Diez de los Rios, Antonio
2015
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Description

Abstract: In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up is discussed.

Details

Resource Type
Journal Article
Series (Uniform Title)
Peer-Reviewed Publications
Publications à comité de lecture
DOI
https://doi.org/10.1016/j.econlet.2015.01.006
Title
Optimal Asymptotic Least Squares Estimation In a Singular Set-Up
Creator
Diez de los Rios, Antonio (Bank of Canada)
Publisher
Elsevier BV
Date
2015-03
Published in
Economics Letters
Volume
128
Pages
83 - 86
Language
English
Note
The views expressed in this paper are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.
JEL Codes
Publication Citation
Diez de los Rios, A. 2015. "Optimal Asymptotic Least Squares Estimation In a Singular Set-Up." Economics Letters No. 128. https://doi.org/10.1016/j.econlet.2015.01.006.
Record Appears in
Bank of Canada Research > Peer-Reviewed Publications

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