We propose a generalized method of moments approach to the accelerated failure time model with correlated survival data. We study the semiparametric rank estimator using martingale-based moments. We ...

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting ...

Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.

I must admit that several years ago when the method-of-moments proof concept began to be seriously considered by the FCC, both Don Markley and I had some reservations about its use. The objections ...

Figure 1: Interpretation of estimated genetic variance depends on ascertainment of the sample. Figure 4: Multiple-component GREML or HE regression for sets of SNPs stratified by MAF. We have provided ...