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Estimation and inference for dependent processes

In: Handbook of Econometrics

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Wooldridge, Jeffrey M.

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Abstract

This chapter provides an overview of asymptotic results available for parametric estimators in dynamic models. Three cases are treated: stationary (or essentially stationary) weakly dependent data, weakly dependent data containing deterministic trends, and nonergodic data (or data with stochastic trends). Estimation of asymptotic covariance matrices and computation of the major test statistics are covered. Examples include multivariate least squares estimation of a dynamic conditional mean, quasi-maximum likelihood estimation of a jointly parameterized conditional mean and conditional variance, and generalized method of moments estimation of orthogonality conditions. Some results for linear models with integrated variables are provided, as are some abstract limiting distribution results for nonlinear models with trending data.

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Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
This chapter was published in: R. F. Engle & D. McFadden (ed.) Handbook of Econometrics, , chapter 45, pages 2639-2738, 1986.

This item is provided by Elsevier in its series Handbook of Econometrics with number 4-45.

Handle: RePEc:eee:ecochp:4-45

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Related research
This chapter was published in the following book, which is listed on IDEAS:
R. F. Engle & D. McFadden (ed.), 1986. "Handbook of Econometrics," Handbook of Econometrics, Elsevier, edition 1, volume 4, number 4, September. [Downloadable!] (restricted)
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Find related papers by JEL classification:
C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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  3. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
  4. Sheng-Kai Chang, 2007. "The asymptotic global power comparisons of the GMM overidentifying restrictions tests," Economics Bulletin, Economics Bulletin, vol. 3(44), pages 1-6. [Downloadable!]
  5. Benedikt M. Pötscher & Ingmar R. Prucha, 1999. "Basic Elements of Asymptotic Theory," Electronic Working Papers 99-001, University of Maryland, Department of Economics. [Downloadable!]
  6. Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005. "Nonstationary Discrete Choice: A Corrigendum and Addendum," Cowles Foundation Discussion Papers 1516, Cowles Foundation, Yale University. [Downloadable!]
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  7. Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007. [Downloadable!]
  8. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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