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Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes

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Author Info
Broze, Laurence
Francq, Christian
Zakoian, Jean-Michel

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File URL: http://www.sciencedirect.com/science/article/B6V84-42VV88K-3/2/6dfff61474823f40bfae7c3d1d0098de
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 71 (2001)
Issue (Month): 3 (June)
Pages: 317-322
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Handle: RePEc:eee:ecolet:v:71:y:2001:i:3:p:317-322

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References listed on IDEAS
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.:
  1. Kim, Yangseon & Qian, Hailong & Schmidt, Peter, 1999. "Efficient GMM and MD estimation of autoregressive models," Economics Letters, Elsevier, vol. 62(3), pages 265-270, March. [Downloadable!] (restricted)
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society. [Downloadable!]
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  2. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," CORE Discussion Papers 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  3. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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  4. repec:att:wimass:1920120 is not listed on IDEAS
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