Efficient GMM and MD estimation of autoregressive models
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References listed on IDEAS
- Breusch, Trevor & Qian, Hailong & Schmidt, Peter & Wyhowski, Donald, 1999. "Redundancy of moment conditions," Journal of Econometrics, Elsevier, vol. 91(1), pages 89-111, July.
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Cited by:
- 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.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," Cowles Foundation Discussion Papers 1746, Cowles Foundation for Research in Economics, Yale University.
- Carrasco, Marine & Florens, Jean-Pierre, 2014.
"On The Asymptotic Efficiency Of Gmm,"
Econometric Theory,
Cambridge University Press, vol. 30(02), pages 372-406, April.
- Carrasco, Marine & Florens, Jean-Pierre, 2003. "On the Asymptotic Efficiency of GMM," IDEI Working Papers 173, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
- Stanislav Anatolyev, 2007.
"Optimal Instruments In Time Series: A Survey,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
- 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, 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," 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.
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