EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY

DOI10.1017/S0266466602183010MaRDI QIDQ4807301zbMATH OpenOpenAlexFDO

Authors Guido Kuersteiner

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466602183010

zbMATH Keywords

tablesadaptive estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(14)

• Efficient instrumental variables estimation of nonlinear dependent processes
• A review of asymptotic theory of estimating functions
• Adaptive long memory testing under heteroskedasticity
• Adaptive estimation of autoregressive models with time-varying variances
• Statistical inference for autoregressive models under heteroscedasticity of unknown form
• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
• Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
• Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
• Kernel-weighted GMM estimators for linear time series models
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
• Local GMM estimation of time series models with conditional moment restrictions

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