Local GMM estimation of time series models with conditional moment restrictions (Q528061): Difference between revisions

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-.1016/j.jeconom.2012.05.017
@@ Property / DOI: 10.1016/j.jeconom.2012.05.017 / rank @@
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+W2068535265
@@ Property / OpenAlex ID: W2068535265 / rank @@
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@@ Property / cites work @@
+GMM, GEL, Serial Correlation, and Asymptotic Bias
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+Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
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+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Efficient estimation of general dynamic models with a continuum of moment conditions
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+GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
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+Asymptotic efficiency in estimation with conditional moment restrictions
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+An Empirical Likelihood Goodness-of-Fit Test for Time Series
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+A Theory of the Term Structure of Interest Rates
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+Q5229999
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+Consistent Estimation of Models Defined by Conditional Moment Restrictions
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+Empirical likelihood estimation and consistent tests with conditional moment restrictions
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+A jackknife interpretation of the continuous updating estimator
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+On the effect of deterministic terms on the bias in stable AR models
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+NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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+Empirical likelihood methods with weakly dependent processes
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+Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
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+UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
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+Optimal instrumental variables estimation for ARMA models
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+EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH  CONDITIONAL HETEROSKEDASTICITY
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+Econometric Theory and Practice
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+A local generalized method of moments estimator
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+Estimation and Testing Stationarity for Double-Autoregressive Models
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+BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
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+Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
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+Markov chains and stochastic stability
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+Efficient Instrumental Variables Estimation of Nonlinear Models
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+Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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+Efficient information theoretic inference for conditional moment restrictions
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+Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
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@@ Property / DOI @@
+.1016/J.JECONOM.2012.05.017
@@ Property / DOI: 10.1016/J.JECONOM.2012.05.017 / rank @@
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