Efficiency bound calculations for a time series model, with conditional heteroskedasticity

DOI10.1016/0165-1765(91)90165-HzbMath0717.62107OpenAlexW1976365234MaRDI QIDQ2638711

Masao Ogaki, John C. Heaton

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90165-h

zbMATH Keywords

algorithmconditional heteroskedasticityefficiency boundtime series modelcontinuous time financial economics modelmartingale taxation model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

Cites Work

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• 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
• Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions

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