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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

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

On Bahadur efficiency of empirical likelihood

Otsu, Taisuke - In: Journal of econometrics 157 (2010) 2, pp. 248-256

Persistent link: https://www.econbiz.de/10008663033

Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels

Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609

Persistent link: https://www.econbiz.de/10009615659

Specification testing for conditional moment restrictions under local identification failure

Dovonon, Prosper; Gospodinov, Nikolaj - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 849-891

In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment...

Persistent link: https://www.econbiz.de/10015053885