MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS

DOI10.1017/S0266466602186063MaRDI QIDQ4807338zbMATH OpenOpenAlexFDO

Authors Hyungsik Roger Moon, Frank Schorfheide

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466602186063

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• scientific article; zbMATH DE number 5227819 (Why is no real title available?)
• Nonstationary nonlinear quantile regression
• Efficient minimum distance estimator for quantile regression fixed effects panel data
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• Pooling estimates with different rates of convergence: a minimum \(\chi ^{2}\) approach with emphasis on a social interactions model

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