Improved generalized method of moments estimators for weakly dependent observations

DOI10.1111/j.1467-9892.2011.00726.xzbMath1273.62097OpenAlexW1797703752MaRDI QIDQ2851993

Francesco Bravo

Publication date: 4 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00726.x

zbMATH Keywords

auxiliary information\(\alpha \)-mixinggeneralised empirical likelihoodblocking techniques

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Empirical likelihood methods with weakly dependent processes
• GMM estimation with cross sectional dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Information in generalized method of moments estimation and entropy-based moment selection
• The commutation matrix: Some properties and applications
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Generalized method of moments specification testing
• On the sample variance of linear statistics derived from mixing sequences
• Redundancy of moment conditions
• Improved instrumental variables and generalized method of moments estimators
• Mixing: Properties and examples
• Empirical likelihood and general estimating equations
• The jackknife and the bootstrap for general stationary observations
• Tapered block bootstrap
• Implied Probabilities in GMM Estimators
• Automatic Lag Selection in Covariance Matrix Estimation
• A Consistent Method for the Selection of Relevant Instruments
• Window Subsampling of Estimating Functions with Application to Regression Models
• The tapered block bootstrap for general statistics from stationary sequences
• Least Squares Variogram Fitting by Spatial Subsampling
• Estimating a Population Variance with Known Mean
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION

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