Z-Estimators and Auxiliary Information under Weak Dependence
|Title||Z-Estimators and Auxiliary Information under Weak Dependence|
|Publication Type||Working Paper|
|Year of Publication||2010|
|Keywords||blocking 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.