Local GMM estimation of time series models with conditional moment restrictions
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Publication:528061
DOI10.1016/j.jeconom.2012.05.017zbMath1443.62261OpenAlexW2068535265MaRDI QIDQ528061
Taisuke Otsu, Nikolay Gospodinov
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://spectrum.library.concordia.ca/974516/1/joe_final.pdf
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items (2)
Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data ⋮ Jackknife estimation of stationary autoregressive models
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