Sieve semiparametric two-step GMM under weak dependence
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Publication:496156
DOI10.1016/j.jeconom.2015.07.001zbMath1337.62249OpenAlexW3124464108MaRDI QIDQ496156
Publication date: 18 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d20/d2012.pdf
numerical equivalenceauto-correlation robust inferencerandom perturbation derivative estimatorsemiparametric over-identification testsieve two-step GMMweakly dependent data
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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