Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
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Publication:1918144
DOI10.1016/0378-3758(95)00044-5zbMath0849.62048OpenAlexW2082630599MaRDI QIDQ1918144
Alain Monfort, Christian Gouriéroux, Eric Renault
Publication date: 11 November 1996
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(95)00044-5
generalized method of momentsconditional momentsordinary least squaresconditional heteroscedasticityOLS residualsasymptotically equivalent estimatormarginal kurtosistwo-stage generalized moments method
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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