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Local GMM Estimation of Time Series Models with Conditional Moment Restrictions

Gospodinov, Nikolay; Otsu, Taisuke - Department of Economics, Concordia University - 2008

This paper investigates statistical properties of the local GMM (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown form and establish the consistency, asymptotic...

Persistent link: https://www.econbiz.de/10004968092

Local GMM estimation of time series models with conditional moment restrictions

Gospodinov, Nikolaj; Otsu, Taisuke - In: Journal of econometrics 170 (2012) 2, pp. 476-490

Persistent link: https://www.econbiz.de/10009686775

Methods for estimation and inference in modern econometrics

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2011

Persistent link: https://www.econbiz.de/10009243504

Median unbiased forecasts for highly persistent autoregressive processes

Gospodinov, Nikolaj - In: Journal of econometrics 111 (2002) 1, pp. 85-101

Persistent link: https://www.econbiz.de/10001703563

Bootstrap-based inference in models with a nearly noninvertible moving average component

Gospodinov, Nikolaj - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10001660381

Robust asymptotic inference in autoregressive models with martingale difference errors

Gospodinov, Nikolaj - In: Econometric reviews 24 (2005) 1, pp. 59-81

Persistent link: https://www.econbiz.de/10002655592

Asymptotic confidence intervals for impulse responses of near-integrated processes

Gospodinov, Nikolaj - In: The econometrics journal 7 (2004) 2, pp. 505-527

Persistent link: https://www.econbiz.de/10002463591

Testing for threshold nonlinearity in short-term interest rates

Gospodinov, Nikolaj - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 344-371

Persistent link: https://www.econbiz.de/10002989086

Inference in nearly nonstationary SVAR models with long-run identifying restrictions

Gospodinov, Nikolaj - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10003992783

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Gospodinov, Nikolaj - In: Journal of econometrics 146 (2008) 1, pp. 146-161

Persistent link: https://www.econbiz.de/10003778271

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