Efficient GMM and MD estimation of autoregressive models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 62 (1999)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/ecolet
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Breusch, Trevor & Qian, Hailong & Schmidt, Peter & Wyhowski, Donald, 1999. "Redundancy of moment conditions," Journal of Econometrics, Elsevier, vol. 91(1), pages 89-111, July.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010.
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Cowles Foundation Discussion Papers
1746, Cowles Foundation for Research in Economics, Yale University.
- Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011. "Uniform Asymptotic Normality In Stationary And Unit Root Autoregression," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1117-1151, December.
- BROZE, Laurence & FRANCQ, Christian & ZAKOIAN, Jean-Michel, 2000.
"Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes,"
CORE Discussion Papers
2000033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, Laurence & Francq, Christian & Zakoian, Jean-Michel, 2001. "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 71(3), pages 317-322, June.
- BROZE, Laurence & FRANCQ , Christian & ZAKOIAN, Jean-Michel, . "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," CORE Discussion Papers RP -1576, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- West, Kenneth D., 2002. "Efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 75(3), pages 415-418, May.
- Stanislav Anatolyev, 2007.
"Optimal Instruments In Time Series: A Survey,"
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Wiley Blackwell, vol. 21(1), pages 143-173, 02.
- Jean-Pierre Florens & Marine Carrasco, 2004.
"On the Asymptotic Efficiency of GMM,"
Econometric Society 2004 North American Winter Meetings
436, Econometric Society.
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