A new method is proposed for estimating linear triangular models, where identification results from the structural … errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the …

This paper studies the identification of structural parameters in dynamic games when we replace the assumption of … Markov Perfect Equilibrium (MPE) with weaker conditions such as rational behavior and rationalizability. The identification … of players' time discount factors is of especial interest. I present identification results for a simple two …

We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The …

The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher … moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator …, only partial parameterization of the conditional covariance matrix is required. An alternative weighting matrix for the GMM …

In this paper we introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a … advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum of the KLIC, to … compare the performance of a density forecast models in the tails. Use of KLIC is practically attractive as well as convenient …