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Using samples of unequal length in generalized method of moments estimation

Lynch, Anthony W.; Wachter, Jessica - 2008

Persistent link: https://www.econbiz.de/10003770562

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Persistent link: https://www.econbiz.de/10012464236

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Persistent link: https://www.econbiz.de/10012769647

Impulse response analysis in a misspecified DSGE model : a comparison of full and limited information techniques

Giesen, Sebastian; Scheufele, Rolf - In: Applied economics letters 23 (2016) 1/3, pp. 162-166

Persistent link: https://www.econbiz.de/10011414505

Christopher A. Sims and vector autoregressions

Christiano, Lawrence J. - In: The Scandinavian journal of economics 114 (2012) 4, pp. 1082-1104

Persistent link: https://www.econbiz.de/10009744352

Monte Carlo studies of econometric estimators of evolutionary parameter structures

Los, Cornelis A.; Kell, Christopher M. - 1985 - Rev

Persistent link: https://www.econbiz.de/10000082867

Forecasting global FDI : a panel data approach

Vujanovic, Nina; Casella, Bruno; Bolwijn, Richard - In: Transnational corporations : investment and development 28 (2021) 1, pp. 97-125

Persistent link: https://www.econbiz.de/10012666192

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

Persistent link: https://www.econbiz.de/10009389845

Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy

Brooks, Chris - 1997

Persistent link: https://www.econbiz.de/10000978781

Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables

Galata, Robert (ed.); Schneeweiß, Hans (honouree); … - 1998

between 1959 and 1965. Following his Habilitation in 1964, he was appointed to the chair of Statistics and Econometrics at the … Department of Statistics of the University of Waterloo, Canada, in 1970/71. He has been a full professor of Econometrics and … work he has published outstanding, original articles on econometrics and statistics. To give an ex ample, it is his …

Persistent link: https://www.econbiz.de/10000655961