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Local GMM estimation of time series models with conditional moment restrictions

Gospodinov, Nikolaj; Otsu, Taisuke - In: Journal of econometrics 170 (2012) 2, pp. 476-490

Persistent link: https://www.econbiz.de/10009686775

Methods for estimation and inference in modern econometrics

Anatolyev, Stanislav; Gospodinov, Nikolay - 2011

Persistent link: https://www.econbiz.de/10009243504

Robust asymptotic inference in autoregressive models with martingale difference errors

Gospodinov, Nikolaj - In: Econometric reviews 24 (2005) 1, pp. 59-81

Persistent link: https://www.econbiz.de/10002655592

Empirical likelihood estimation of conditional moment restriction models with unknown functions

Otsu, Taisuke - In: Econometric theory 27 (2011) 1, pp. 8-46

Persistent link: https://www.econbiz.de/10009127145

Large deviations of generalized method of moments and empirical likelihood estimators

Otsu, Taisuke - In: The econometrics journal 14 (2011) 2, pp. 321-329

Persistent link: https://www.econbiz.de/10009382621

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718

Persistent link: https://www.econbiz.de/10012040404

Too good to be true? : fallacies in evaluating risk factor models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Persistent link: https://www.econbiz.de/10011757568

Minimum distance estimation of possibly noninvertible moving average models

Gospodinov, Nikolaj; Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 403-417

Persistent link: https://www.econbiz.de/10011390402

Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

Further results on the limiting distribution of GMM sample moment conditions

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2010

In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal...

Persistent link: https://www.econbiz.de/10008664615