GMM, GEL, Serial Correlation, and Asymptotic Bias
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Publication:5393904
DOI10.1111/j.1468-0262.2005.00601.xzbMath1152.62360MaRDI QIDQ5393904
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2005.00601.x
serial correlation; GMM; empirical likelihood; HAC estimation; asymptotie bias; higher order asymptotie expansions; smoothed moment conditions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
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