This paper studies large deviation properties of the generalised method of moments and generalized empirical likelihood estimators for moment restriction models. We consider two cases for the data ...

In this paper, we introduce the extended method of moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard generalized method of moments (GMM) ...

This paper performs a Monte Carlo study on efficient method of moments (EMM), generalized method of moments (GMM), quasi-maximum likelihood estimation (QMLE) and maximum likelihood estimation (MLE) ...