Regularized GMM for time-varying models with applications to asset pricing
From MaRDI portal
Publication:6572252
DOI10.1111/iere.12678zbMath1545.91314MaRDI QIDQ6572252
Liyuan Cui, Guanhao Feng, Yongmiao Hong
Publication date: 15 July 2024
Published in: International Economic Review (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Consistent model specification tests
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Bootstrapping GMM estimators for time series
- Local GMM estimation of time series models with conditional moment restrictions
- A maximal inequality and dependent strong laws
- On a scalable nonparametric denoising of time series signals
- Smoothing spline ANOVA for exponential families, with application to the Wisconsin epidemiological study of diabetic retinopathy. (The 1994 Neyman Memorial Lecture)
- A local generalized method of moments estimator
- Solving Euler equations via two-stage nonparametric penalized splines
- Estimating latent asset-pricing factors
- Asymptotic properties of bridge estimators in sparse high-dimensional regression models
- High dimensional semiparametric moment restriction models
- Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals
- Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
- Finite Element Approach to Clustering of Multidimensional Time Series
- Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Efficient Derivative Pricing by the Extended Method of Moments
- On the asymptotics of penalized splines
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Uniform Convergence in Probability and Stochastic Equicontinuity
- A Consistent Conditional Moment Test of Functional Form
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
- Sparsity and Smoothness Via the Fused Lasso
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- Specification tests for time-varying coefficient models
This page was built for publication: Regularized GMM for time-varying models with applications to asset pricing