Gospodinov, Nikolay; Otsu, Taisuke - In: Journal of Econometrics 170 (2012) 2, pp. 476-490
This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the...