Efficient two-step estimation via targeting
type: Item
instance of: scholarly article
title: Efficient two-step estimation via targeting
zbMATH Open document ID: 1377.62179
author: David T. Frazier
author: Eric Renault
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
full work available at URL: 2016s-16.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6803378
zbMATH Keywords: targeting
zbMATH Keywords: penalization
zbMATH Keywords: multivariate time series models
zbMATH Keywords: asset pricing
MaRDI profile type: Publication
OpenAlex ID: W2406037796
cites work: Efficient minimum distance estimation with multiple rates of convergence
cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
cites work: Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
cites work: SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
cites work: MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
cites work: Maximization by parts in extremum estimation
cites work: Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
cites work: The Modified Gauss-Newton Method for the Fitting of Non-Linear Regression Functions by Least Squares
cites work: An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
cites work: Q4382161
cites work: Efficient estimation of copula-GARCH models
cites work: Multivariate rotated ARCH models
cites work: Two Stage and Related Estimators and Their Applications
cites work: Simulation and the Asymptotics of Optimization Estimators
cites work: Copula–Based Models for Financial Time Series
cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
cites work: The Stochastic Difference Between Econometric Statistics
cites work: Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
cites work: Multivariate Dispersion Models Generated From Gaussian Copula
cites work: Maximization by Parts in Likelihood Inference
DOI: 10.1016/J.JECONOM.2017.08.004
description: scientific article; zbMATH DE number 6803378