Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

DOI10.1016/j.jeconom.2018.01.012zbMath1452.62908OpenAlexW2901383207WikidataQ128819483 ScholiaQ128819483MaRDI QIDQ1739883

Patrick Gagliardini, Christian Gouriéroux

Publication date: 29 April 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.01.012

zbMATH Keywords

semiparametric identificationconditional moment restrictionscount panel datacross-differencingnonlinear factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Semiparametric estimation of latent variable asset pricing models

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