GMM, GEL, Serial Correlation, and Asymptotic Bias

DOI10.1111/j.1468-0262.2005.00601.xzbMath1152.62360OpenAlexW2140683130MaRDI QIDQ5393904

Stanislav Anatolyev

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

zbMATH Keywords

serial correlationGMMempirical likelihoodHAC estimationasymptotie biashigher order asymptotie expansionssmoothed moment conditions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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