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The weak approximation of the empirical characteristic function process when parameters are estimated

✍ Scribed by Martin T. Wells

Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
1013 KB
Volume
40
Category
Article
ISSN
0304-4149

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## The parameters of the function f(t) =c(e-& -e -\* l ) are related in a simple way to the moments I t Y ( t ) dt (n =0, 1 , 2 ) . Using empirical values of I, the moments can be estimated by numerical -0 integration. Therefrom estimates of the parameters are obtained by elementary algebra.

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## SUMMARY This narrow replication exercise of Yogo (__Review of Economics and Statistics__ 2004; **86**(3): 797–810) finds results identical to the original paper, and provides results on overidentification tests for specifications that do not suffer from the weak instruments problem. The null hyp