Local GMM estimation of time series models with conditional moment restrictions

DOI10.1016/J.JECONOM.2012.05.017zbMATH Open1443.62261OpenAlexW2068535265MaRDI QIDQ528061FDOQ528061

Authors: Nikolay Gospodinov, Taisuke Otsu 

Publication date: 12 May 2017

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

Full work available at URL: https://spectrum.library.concordia.ca/974516/1/joe_final.pdf

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zbMATH Keywords

conditional heteroskedasticityconditional moment restrictionhigher-order expansionlocal GMM

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) 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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Cited In (8)

• Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data
• Regularized GMM for time-varying models with applications to asset pricing
• Title not available (Why is that?)
• Local lagged adapted generalized method of moments and applications
• Kernel-weighted GMM estimators for linear time series models
• Estimating and testing for smooth structural changes in moment condition models
• Local generalized method of moments estimation based on kernel weights: An application to panel data
• Jackknife estimation of stationary autoregressive models

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