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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
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Local GMM estimation of time series models with conditional moment restrictions
Gospodinov, Nikolay; Otsu, Taisuke - In: Journal of Econometrics 170 (2012) 2, pp. 476-490
This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the...
Persistent link: https://www.econbiz.de/10010594972
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Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Gospodinov, Nikolaj - In: Journal of econometrics 146 (2008) 1, pp. 146-161
Persistent link: https://www.econbiz.de/10003778271
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A new look at the forward premium puzzle
Gospodinov, Nikolaj - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 312-338
Persistent link: https://www.econbiz.de/10003884194
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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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Testing for threshold nonlinearity in short-term interest rates
Gospodinov, Nikolaj - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 344-371
Persistent link: https://www.econbiz.de/10002989086
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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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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
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Median unbiased forecasts for highly persistent autoregressive processes
Gospodinov, Nikolaj - In: Journal of econometrics 111 (2002) 1, pp. 85-101
Persistent link: https://www.econbiz.de/10001703563
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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