Kernel-weighted GMM estimators for linear time series models
DOI10.1016/J.JECONOM.2012.05.013zbMATH Open1443.62273OpenAlexW1993252073MaRDI QIDQ528056FDOQ528056
Authors: Guido Kuersteiner 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S030440761200125X
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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)
Cites Work
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- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
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Cited In (10)
- Higher order mean squared error of generalized method of moments estimators for nonlinear models
- Improved generalized method of moments estimators for weakly dependent observations
- Title not available (Why is that?)
- Regularized LIML for many instruments
- A regularization approach to the many instruments problem
- Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel
- Estimating and testing for smooth structural changes in moment condition models
- Regularized estimation of dynamic panel models
- Local generalized method of moments estimation based on kernel weights: An application to panel data
- Local GMM estimation of time series models with conditional moment restrictions
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