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Efficient GMM Estimation Using the Empirical Characteristic Function

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  • Marine Carrasco

    (Crest)

  • Jean-Pierre Florens

    (Crest)

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  • Marine Carrasco & Jean-Pierre Florens, 2000. "Efficient GMM Estimation Using the Empirical Characteristic Function," Working Papers 2000-33, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2000-33
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    Cited by:

    1. repec:jss:jstsof:34:i11 is not listed on IDEAS
    2. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
    3. Fabio Sanches & Daniel Silva Junior & Sorawoot Srisuma, 2018. "Minimum Distance Estimation of Search Costs Using Price Distribution," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 658-671, October.
    4. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
    5. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
    6. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
    7. Abbring, J.H., 2009. "Mixed Hitting-Time Models," Other publications TiSEM 6c745572-a041-4990-a767-6, Tilburg University, School of Economics and Management.
    8. Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
    9. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
    10. Tsionas, Efthymios G., 2012. "Maximum likelihood estimation of stochastic frontier models by the Fourier transform," Journal of Econometrics, Elsevier, vol. 170(1), pages 234-248.
    11. Marco Bee, 2022. "The truncated g-and-h distribution: estimation and application to loss modeling," Computational Statistics, Springer, vol. 37(4), pages 1771-1794, September.
    12. Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
    13. Narayanaswamy Balakrishnan & Chengwei Qin, 2019. "First Passage Time of a Lévy Degradation Model with Random Effects," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 315-329, March.
    14. Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
    15. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    16. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
    17. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
    18. Pierre Chausse, 2017. "Regularized Empirical Likelihood as a Solution to the No Moment," Working Papers 1708, University of Waterloo, Department of Economics, revised Nov 2017.
    19. Bruno Feunou, 2023. "Generalized Autoregressive Gamma Processes," Staff Working Papers 23-40, Bank of Canada.
    20. Yves Dominicy & David Veredas, 2010. "The method of simulated quantiles," Working Papers ECARES 2010-008, ULB -- Universite Libre de Bruxelles.
    21. Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.

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