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Minimum Distance Estimation Of Nonstationary Time Series Models

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Author Info
Moon, Hyungsik Roger
Schorfheide, Frank

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Abstract

This paper analyzes the limit distribution of minimum distance (MD) estimators for nonstationary time series models that involve nonlinear parameter restrictions. A rotation for the restricted parameter space is constructed to separate the components of the MD estimator that converge at different rates. We derive regularity conditions for the restriction function that are easier to verify than the stochastic equicontinuity conditions that arise from direct estimation of the restricted parameters. The sequence of matrices that is used to weigh the discrepancy between the unrestricted estimates and the restriction function is allowed to have a stochastic limit. For MD estimators based on unrestricted estimators with a mixed normal asymptotic distribution the optimal weight matrix is derived and a goodness-of-fit test is proposed. Our estimation theory is illustrated in the context of a permanent-income model and a present-value model.

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File URL: http://journals.cambridge.org/abstract_S0266466602186063
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 18 (2002)
Issue (Month): 06 (December)
Pages: 1385-1407
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:18:y:2002:i:06:p:1385-1407_18

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  1. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Micro Theory Working Papers vadim_marmer-2008-14, Microeconomics.ca Website, revised 02 Nov 2009. [Downloadable!]
  2. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," Working Paper 2002-14, Federal Reserve Bank of Atlanta. [Downloadable!]
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This page was last updated on 2009-11-24.

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