Phillips (1977a, 1977b) made seminal contributions to time series finite-sample theory, and then, he was among the first to develop the distributions of estimators and forecasts in stationary time series models, see Phillips (1978, 1979), among others. From the mid-eighties Phillips (1987a,...

A new methodology is presented for approximating the moments of least squares coefficient estimators in situations where endogeneity and dynamics are present. The OLS estimator is the focus here, but the method, which is valid under a simple set of smoothness and moment conditions, can be...

In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation....

In this paper we define a set of Indirect Inference estimators based on moment approximations of the auxiliary ones. Their introduction is motivated by reasons of analytical and computational facilitation. Their definition provides an indirect inference framework for some "classical" bias...