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Methods for estimation and inference in modern econometrics
Anatolyev, Stanislav; Gospodinov, Nikolay - 2011
Persistent link: https://www.econbiz.de/10009243504
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Inference in nearly nonstationary SVAR models with long-run identifying restrictions
Gospodinov, Nikolaj - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10003992783
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Asymptotic confidence intervals for impulse responses of near-integrated processes
Gospodinov, Nikolaj - In: The econometrics journal 7 (2004) 2, pp. 505-527
Persistent link: https://www.econbiz.de/10002463591
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Bootstrap-based inference in models with a nearly noninvertible moving average component
Gospodinov, Nikolaj - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10001660381
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Generalized empirical likelihood inference for nonlinear and time series models under weak identification
Otsu, Taisuke - In: Econometric theory 22 (2006) 3, pp. 513-527
Persistent link: https://www.econbiz.de/10003307495
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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
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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
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Specification testing in models with many instruments
Anatolyev, Stanislav (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003796112
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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
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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