
A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions
Publication
, Journal Article
Tauchen, G
Published in: Economics Letters
January 1, 1986
This paper derives under simplifying assumptions an explicit expression for the lower bound on the asymptotic variance of the GMM estimate of the curvature parameter of the CRR utility function. Numerical calculations indicate that qualitative conclusions reached on the basis of the expression are reliable indicators of what can be expected in complicated estimation situations where explicit formulae are not available. © 1986.
Duke Scholars
Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1986
Volume
20
Issue
2
Start / End Page
151 / 155
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Tauchen, G. (1986). A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions. Economics Letters, 20(2), 151–155. https://doi.org/10.1016/0165-1765(86)90163-1
Tauchen, G. “A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions.” Economics Letters 20, no. 2 (January 1, 1986): 151–55. https://doi.org/10.1016/0165-1765(86)90163-1.
Tauchen G. A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions. Economics Letters. 1986 Jan 1;20(2):151–5.
Tauchen, G. “A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions.” Economics Letters, vol. 20, no. 2, Jan. 1986, pp. 151–55. Scopus, doi:10.1016/0165-1765(86)90163-1.
Tauchen G. A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions. Economics Letters. 1986 Jan 1;20(2):151–155.

Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1986
Volume
20
Issue
2
Start / End Page
151 / 155
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics