How to weight in moments matchings - Cheng, Xu,Sánchez-Becerra, Alejandro,Shephard, Andrew (Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, 2023)
This version: June 25, 2023
Keywords: Graue Literatur; cross fitting; covariance structure model; earnings dynamics; graphicallasso; many moments; minimum distance estimation; weighting matrix