Efficient two-step estimation via targeting

DOI10.1016/J.JECONOM.2017.08.004MaRDI QIDQ1676369zbMATH OpenOpenAlexFDO

Authors David T. Frazier, Eric Renault

Publication date 7 November 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://cirano.qc.ca/files/publications/2016s-16.pdf

zbMATH Keywords

penalizationasset pricingtargetingmultivariate time series models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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• Maximization by parts in extremum estimation
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• The Stochastic Difference Between Econometric Statistics
• Two Stage and Related Estimators and Their Applications
• Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form

Cited in

(3)

• Efficient closed-form estimation of large spatial autoregressions
• Multivariate leverage effects and realized semicovariance GARCH models
• Editors' introduction

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