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.

Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.

Relatedness between individuals is central to ecological genetics. Multiple methods are available to quantify relatedness from molecular data, including method-of-moment and maximum-likelihood ...