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Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models

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Author Info
Ming Liu
Harold Zhang
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File URL: ftp://pareto.tepper.cmu.edu/pub/papers/dtemm.ps
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Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 34.

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Date of creation: Dec 1996
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Handle: RePEc:cmu:gsiawp:34

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  1. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  2. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
    Other versions:
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