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Efficient GMM and MD estimation of autoregressive models

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Listed author(s):
  • Kim, Yangseon
  • Qian, Hailong
  • Schmidt, Peter

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(99)00017-8
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 62 (1999)
Issue (Month): 3 (March)
Pages: 265-270

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Handle: RePEc:eee:ecolet:v:62:y:1999:i:3:p:265-270
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  1. 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:

  1. 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.
  2. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(02), pages 372-406, April.
  3. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, 02.
  4. 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.
  5. 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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