On the identification of models with conditional characteristic functions

DOI10.1016/J.ECONLET.2019.108859zbMath1435.62101OpenAlexW2990378262MaRDI QIDQ2292821

Hyojin Han

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108859

zbMATH Keywords

identificationgeneralized method of momentsconditional characteristic function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20)

Cites Work

• Consistent model specification tests
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
• GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Estimation of affine asset pricing models using the empirical characteristic function

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