Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
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More about this item
KeywordsAsymptotic theory; Brownian motion; econometric estimation; series expansion.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-01 (All new papers)
- NEP-ECM-2011-10-01 (Econometrics)
- NEP-ETS-2011-10-01 (Econometric Time Series)
- NEP-UPT-2011-10-01 (Utility Models & Prospect Theory)
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