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条件矩限制时间序列模型的局部GMM估计AI 解读

This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the consistency, asymptotic normality, and semi-parametric efficiency of the LGMM estimator. Second, we undertake a higher-order asymptotic expansion and demonstrate that the LGMM…

弱识别下非线性与时间序列模型的广义经验似然推断AI 解读

This paper studies robust inference methods for nonlinear moment restriction models with weakly identified parameters in time series contexts. Our methods are based on generalized empirical likelihood with kernel smoothing. The proposed test statistics, which follow the standard χ2 limiting distributions, are robust to weak identification and dependent data.The author is deeply grateful to Bruce Hansen, John Kennan, and Gautam Tripathi for their guidance and time. Comments…