MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS

DOI10.1017/S0266466602186063zbMath1023.62089OpenAlexW3121764172MaRDI QIDQ4807338

Frank Schorfheide, Hyungsik Roger Moon

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466602186063

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (4)

Efficient minimum distance estimator for quantile regression fixed effects panel data ⋮ POOLING ESTIMATES WITH DIFFERENT RATES OF CONVERGENCE: A MINIMUM χ² APPROACH WITH EMPHASIS ON A SOCIAL INTERACTIONS MODEL ⋮ Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity ⋮ Nonstationary nonlinear quantile regression

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