Efficient Iv Estimation For Autoregressive Models With Conditional Heteroskedasticity
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Cited by:
- Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 77, University of California, Davis, Department of Economics.
- Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 107, University of California, Davis, Department of Economics.
- West, Kenneth D, 2001.
"On Optimal Instrumental Variables Estimation of Stationary Time Series Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1043-1050, November.
- Kenneth D. West, 2000. "On Optimal Instrumental Variables Estimation of Stationary Time Series Models," NBER Technical Working Papers 0249, National Bureau of Economic Research, Inc.
- Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
- Stanislav Anatolyev, 2007.
"Optimal Instruments In Time Series: A Survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
- Jean Jacod & Michael Sørensen, 2018. "A review of asymptotic theory of estimating functions," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 415-434, July.
- Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009.
"Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
- West,K.D. & Wong,K.-F. & Anatolyev,S., 2001. "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers 20, Wisconsin Madison - Social Systems.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
- Kuersteiner, Guido M., 2001.
"Optimal instrumental variables estimation for ARMA models,"
Journal of Econometrics, Elsevier, vol. 104(2), pages 359-405, September.
- Guido M. Kuersteiner, 1999. "Optimal Instrumental Variables Estimation for ARMA Models," Working papers 99-07, Massachusetts Institute of Technology (MIT), Department of Economics.
- Gospodinov, Nikolay & Otsu, Taisuke, 2012.
"Local GMM estimation of time series models with conditional moment restrictions,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
- Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
- Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
- Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 624, University of California, Davis, Department of Economics.
- Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
- Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 201, University of California, Davis, Department of Economics.
- Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(1), pages 60-68, February.
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