Z-Estimators and Auxiliary Information under Weak Dependence

TitleZ-Estimators and Auxiliary Information under Weak Dependence
Publication TypeWorking Paper
Year of Publication2010
AuthorsF. Crudu
Keywordsblocking techniques, generalized empirical likelihood, gmm, m-estimators, z-estimators

In this paper we 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.

Citation Key2989
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