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A. Ronald Gallant

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Personal Details

First Name: A.
Middle Name: Ronald
Last Name: Gallant
Suffix:

RePEc Short-ID: pga696

Email: [This author has chosen not to make the email address public]
Homepage: http://www.aronaldg.org/
Postal Address: P.O. Box 659 Chapel Hill NC 27514 USA
Phone:

Affiliation

Department of Economics
Pennsylvania State University
Location: State College, Pennsylvania (United States)
Homepage: http://econ.la.psu.edu/
Email:
Phone: (814)865-1456
Fax: (814)863-4775
Postal: 608 Kern Graduate Building, University Park, PA 16802-3306
Handle: RePEc:edi:depsuus (more details at EDIRC)

Works

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Working papers

  1. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
  3. A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2012. "Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State," Working Papers 12-01, Duke University, Department of Economics.
  4. Eric M. Aldrich & Jesús Fernández-Villaverde & Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," PIER Working Paper Archive 10-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Han Hong & Ahmed Khwaja & A. Ronald Gallant, 2010. "Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry," Working Papers 10-59, Duke University, Department of Economics.
  6. Dong-Hyun Ahn & In Seok Baek & A. Ronald Gallant, 2010. "Sign switching behavior of cross-county interest rate correlations: Theory and Evidence," Working Papers 10-58, Duke University, Department of Economics.
  7. Eric M. Aldrich & A. Ronald Gallant, 2010. "Habit, Long-Run Risks, Prospect? A Statistical Inquiry," Working Papers 10-60, Duke University, Department of Economics.
  8. Han Hong & Ahmed Khwaja & A. Ronald Gallant, 2008. "Estimating Dynamic Games of Complete Information with an Application to the Generic Pharmaceutical Industry," 2008 Meeting Papers 1050, Society for Economic Dynamics.
  9. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
  10. Gallant, A. Ronald & Tauchen, George, 2002. "Efficient Method of Moments," Working Papers 02-06, Duke University, Department of Economics.
  11. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
  12. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
  13. Coppejans, Mark & Gallant, A. Ronald, 2000. "Cross Validated SNP Density Estimates," Working Papers 00-10, Duke University, Department of Economics.
  14. Gallant, A. Ronald & Hsu, Chien-Te & Tauchen, George, 2000. "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance," Working Papers 00-04, Duke University, Department of Economics.
  15. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
  16. Gallant, A. Ronald & Tauchen, George, 1997. "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Working Papers 97-09, Duke University, Department of Economics.
  17. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  18. Gallant, A. Ronald & Long, Jonathan R., 1996. "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square," Working Papers 96-32, Duke University, Department of Economics.
  19. Gallant, A. Ronald, 1996. "Comments on Calibration," Working Papers 96-25, Duke University, Department of Economics.
  20. Gallant, A. Ronald, 1996. "The Nonlinear Mixed Effects Model with a Smooth Random Effects Density," Working Papers 96-03, Duke University, Department of Economics.
  21. Gallant, A. Ronald & Tauchen, George E., 1995. "Specification Analysis of Continuous Time Models in Finance," Working Papers 95-49, Duke University, Department of Economics.
  22. Tauchen, George E. & Gallant, A. Ronald, 1995. "SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide," Working Papers 95-26, Duke University, Department of Economics.
  23. Tauchen, George E. & Gallant, A. Ronald, 1995. "EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide," Working Papers 95-27, Duke University, Department of Economics.
  24. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
  25. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  26. Tauchen, George E. & Gallant, A. Ronald, 1995. "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Working Papers 95-53, Duke University, Department of Economics.
  27. Gallant, A.R. & Tauchen, G., 1988. "Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Papers 88-59, Chicago - Graduate School of Business.
  28. Gallant, A.R. & Hsieh, D. & Tauchen, G., 1988. "On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83," Papers 88-60, Chicago - Graduate School of Business.
  29. A. Ronald Gallant & Gene H. Golub, 1982. "Imposing Curvature Restrictions on Flexible Functional Forms," Discussion Papers 538, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  30. John J. Seater & Adrian Fleissig & A. Ron Gallant, . "Theory Matters: GARP, Separability, Aggregation, and Euler Equation Estimation," Working Paper Series 16, North Carolina State University, Department of Economics.
  31. A. Ronald Gallant & George Tauchen, . "Reproducing Partial Observed Systems with Application to Interest Rate Diffusions," Computing in Economics and Finance 1997 114, Society for Computational Economics.

Articles

  1. Aldrich, Eric M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March.
  2. Gallant, A. Ronald & McCulloch, Robert E., 2009. "On the Determination of General Scientific Models With Application to Asset Pricing," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 117-131.
  3. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  4. Gallant, A. Ronald, 2007. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 151-152, April.
  5. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1005-1033.
  6. Ahn, Dong-Hyun & Dittmar, Robert F. & Gallant, A. Ronald & Gao, Bin, 2003. "Purebred or hybrid?: Reproducing the volatility in term structure dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 147-180.
  7. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
  8. Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 335-38, July.
  9. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  10. Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 297-316, July.
  11. Fleissig, Adrian R. & Gallant, A. Ronald & Seater, John J., 2000. "Separability, Aggregation, And Euler Equation Estimation," Macroeconomic Dynamics, Cambridge University Press, vol. 4(04), pages 547-572, December.
  12. A. Ronald Gallant & Chien-Te Hsu & George Tauchen, 1999. "Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 617-631, November.
  13. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
  14. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  15. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
  16. Gallant, A. Ronald & Tauchen, George, 1997. "Estimation Of Continuous-Time Models For Stock Returns And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 135-168, January.
  17. Fenton, Victor M & Gallant, A Ronald, 1996. "Erratum [Convergence Rates of SNP Density Estimators]," Econometrica, Econometric Society, vol. 64(6), pages 1493, November.
  18. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September.
  19. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  20. Fenton, Victor M & Gallant, A Ronald, 1996. "Convergence Rates of SNP Density Estimators," Econometrica, Econometric Society, vol. 64(3), pages 719-27, May.
  21. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July.
  22. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  23. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
  24. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
  25. Eastwood, Brian J. & Gallant, A. Ronald, 1991. "Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 7(03), pages 307-340, September.
  26. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December.
  27. Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
  28. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
  29. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  30. Barnett, William A. & Ronald Gallant, A., 1985. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 1-1.
  31. Gallant, A. Ronald & Monahan, John F., 1985. "Explicitly infinite-dimensional Bayesian analysis of production technologies," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 171-201.
  32. Chalfant, James A. & Gallant, A. Ronald, 1985. "Estimating substitution elasticities with the Fourier cost function : Some Monte Carlo results," Journal of Econometrics, Elsevier, vol. 28(2), pages 205-222, May.
  33. Gallant, A. Ronald & Golub, Gene H., 1984. "Imposing curvature restrictions on flexible functional forms," Journal of Econometrics, Elsevier, vol. 26(3), pages 295-321, December.
  34. Gallant, A. Ronald & Koenker, Roger W., 1984. "Costs and benefits of peak-load pricing of electricity : A continuous-time econometric approach," Journal of Econometrics, Elsevier, vol. 26(1-2), pages 83-113.
  35. Elbadawi, Ibrahim & Gallant, A Ronald & Souza, Geraldo, 1983. "An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form," Econometrica, Econometric Society, vol. 51(6), pages 1731-51, November.
  36. Aguirre-Torres, Victor & Ronald Gallant, A., 1983. "The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression: Alternatives and a new distribution-free Cox test," Journal of Econometrics, Elsevier, vol. 21(1), pages 5-33, January.
  37. Gallant, A. Ronald, 1982. "Unbiased determination of production technologies," Journal of Econometrics, Elsevier, vol. 20(2), pages 285-323, November.
  38. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
  39. Gallant, A Ronald & Holly, Alberto, 1980. "Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 48(3), pages 697-720, April.
  40. Gallant, A. Ronald & Gerig, Thomas M., 1980. "Computations for constrained linear models," Journal of Econometrics, Elsevier, vol. 12(1), pages 59-84, January.
  41. Gallant, A. Ronald & Jorgenson, Dale W., 1979. "Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 275-302.
  42. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
  43. C. R. Shumway & P. M. Maher & M. R. Baker & W. E. Souder & A. H. Rubenstein & A. R. Gallant, 1975. "Diffuse Decision-Making in Hierarchical Organizations: An Empirical Examination," Management Science, INFORMS, vol. 21(6), pages 697-707, February.
  44. Gallant, A. Ronald, 1975. "Seemingly unrelated nonlinear regressions," Journal of Econometrics, Elsevier, vol. 3(1), pages 35-50, February.

Editor

  1. Journal of Econometrics, Elsevier.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2007-05-26 2010-04-24
  2. NEP-CBA: Central Banking (2) 2010-04-24 2011-01-03
  3. NEP-CMP: Computational Economics (2) 2010-04-17 2010-04-24
  4. NEP-DGE: Dynamic General Equilibrium (3) 2007-05-26 2010-04-17 2010-04-24
  5. NEP-ECM: Econometrics (5) 2000-10-05 2002-06-13 2010-04-24 2012-05-15 2013-10-25. Author is listed
  6. NEP-ETS: Econometric Time Series (4) 2000-10-05 2002-06-13 2002-06-13 2002-06-24. Author is listed
  7. NEP-FIN: Finance (2) 2002-06-13 2002-06-24
  8. NEP-FMK: Financial Markets (3) 2000-10-05 2002-06-13 2002-06-24
  9. NEP-GTH: Game Theory (1) 2012-05-15
  10. NEP-MAC: Macroeconomics (1) 2010-04-17

Statistics

This author is among the top 5% authors according to these criteria:
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  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
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  21. Number of Journal Pages
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  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Closeness measure in co-authorship network
  28. Betweenness measure in co-authorship network
  29. Breadth of citations across fields
  30. Wu-Index
  31. Strength of students

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