LI, HONG; MÜLLER, ULRICH K. - In: Review of Economic Studies 76 (2009) 1, pp. 343-365
This paper considers time series Generalized Method of Moments (GMM) models where a subset of the parameters are time varying. We focus on an empirically relevant case with moderately large instabilities, which are well approximated by a local asymptotic embedding that does not allow the...