Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

DOI10.1016/J.JECONOM.2018.01.012MaRDI QIDQ1739883zbMATH OpenOpenAlexWikidataFDO

Authors Patrick Gagliardini, Christian Gouriéroux

Publication date 29 April 2019

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.01.012

zbMATH Keywords

conditional moment restrictionscount panel datacross-differencingnonlinear factor modelsemiparametric identification

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(3)

• Identification of a nonparametric panel data model with unobserved heterogeneity and lagged dependent variables
• Semiparametric estimation of latent variable asset pricing models
• Instrumental variables inference in a small-dimensional VAR model with dynamic latent factors

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