A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

DOI10.1016/0304-4076(85)90138-1zbMath0588.62166OpenAlexW2025762907MaRDI QIDQ1073525

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90138-1

zbMATH Keywords

time series stationary ergodic generalized method of moments estimators greatest lower bound for the asymptotic covariance matrices martingale difference approximations matrix version of Hilbert space methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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