This paper presents a new method for identifying triangular systems of time-series data. Identification is the product … of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself …. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is …

function and that for generalised method of moments (GMM) with weight matrix equal to the inverse of the efficient GMM metric … for GMM for the non-diagonal GMM weight matrix setting. The paper demonstrates that GMM in such circumstances delivers a … GMM with a non-diagonal weight matrix and GEL. A simulation study examines the efficacy of the non-diagonal GMM and GEL …

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the …

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions …

coefficient specification to capture this type of heterogeneity in behaviour, and discusses nonparametric identification and … estimation of the distribution of random coefficients. We establish nonparametric point identification of the joint distribution … markets. Moreover, we establish set identification of the density of the coefficients on the interaction effects, and provide …