Monday, 10 November 2008

Criteria for judging estimation procedures

There are many procedures for judging how good an estimation procedure is: bias, consistency, speed of convergence, behaviour in misspecification, applicability, ease of use, and so on. It would be nice if someone pooled the criteria values for recently emerged procedures like the GMM system and, even better, produced an overarching criteria which embedded the others including ones not yet devised. A similar pooling for the associated test statistics would be good, too.

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