Efficient GMM estimation of weak AR processes.
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Publication:1605275
DOI10.1016/S0165-1765(02)00015-0zbMath1168.91491OpenAlexW2145928867MaRDI QIDQ1605275
Publication date: 15 July 2002
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00015-0
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
Related Items (3)
Analysis of linearly elastic inextensible frames undergoing large displacement and rotation ⋮ Moment redundancy test with application to efficiency-improving copulas ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Efficient GMM and MD estimation of autoregressive models
- Redundancy of moment conditions
- Generalized autoregressive conditional heteroscedasticity
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
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