EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
DOI10.1017/S0266466602183010zbMATH Open1109.62338OpenAlexW3123342143MaRDI QIDQ4807301FDOQ4807301
Authors: Guido Kuersteiner 
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466602183010
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Inference from stochastic processes and spectral analysis (62M15)
Cited In (14)
- Efficient instrumental variables estimation of nonlinear dependent processes
- Adaptive long memory testing under heteroskedasticity
- A review of asymptotic theory of estimating functions
- Adaptive estimation of autoregressive models with time-varying variances
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- Kernel-weighted GMM estimators for linear time series models
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
- Local GMM estimation of time series models with conditional moment restrictions
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