Chapter 45 Estimation and inference for dependent processes

This chapter provides an overview of asymptotic results available for parametric estimators in dynamic models. Three cases are treated: stationary (or essentially stationary) weakly dependent data, weakly dependent data containing deterministic trends, and nonergodic data (or data with stochastic trends). Estimation of asymptotic covariance matrices and computation of the major test statistics are covered. Examples include multivariate least squares estimation of a dynamic conditional mean, quasi-maximum likelihood estimation of a jointly parameterized conditional mean and conditional variance, and generalized method of moments estimation of orthogonality conditions. Some results for linear models with integrated variables are provided, as are some abstract limiting distribution results for nonlinear models with trending data.