Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
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Publication:4729224
DOI10.2307/1913624zbMath0679.62096MaRDI QIDQ4729224
George Tauchen, A. Ronald Gallant
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/1ceda47b22cb637e68ad1daed7ea9c1f16c7d5f4
utility; nonparametric; conditional moment restrictions; specification error; limited information maximum likelihood; Hermite expansions; overidentifying restrictions; intertemporal capital asset pricing model; seminonparametric
62P20: Applications of statistics to economics
91B24: Microeconomic theory (price theory and economic markets)
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