On the identification of models with conditional characteristic functions

DOI10.1016/J.ECONLET.2019.108859MaRDI QIDQ2292821zbMATH OpenOpenAlexFDO

Authors Hyojin Han

Publication date 5 February 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.108859

zbMATH Keywords

conditional characteristic functiongeneralized method of momentsidentification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

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Cites work

• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Consistent model specification tests
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Estimation of affine asset pricing models using the empirical characteristic function
• Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
• Generalization of GMM to a continuum of moment conditions
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(5)

• Study of conditional ML estimators in time and frequency-domain system identification
• The role of the exogenous randomness in the identification of conditional models
• Necessary and sufficient conditions for the identifiability of observation‐driven models
• On the identification of path analysis models with one hidden variable
• Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

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