Efficient method of moments estimation techniques include many commonly used techniques,
including ordinary least squares, two- and three-stage least squares, quasi maximum
likelihood, and versions of these for nonlinear environments. For models estimated
by any efficient method of moments technique, the authors define analogues to the
maximum likelihood based Wald, likelihood ratio, Lagrange multiplier, and minimum
chi-squared statistics. They prove the mutual asymptotic equivalence of the four
in an environment that allows for disturbances that are auto correlated and heteroskedastic.
They also describe a very convenient way to test a linear hypothesis in a linear
model. Copyright 1987 by Economics Department of the University of Pennsylvania and
the Osaka University Institute of Social and Economic Research Association.