Found 32 Documents (Results 1–32)
Penalized generalized empirical likelihood in high-dimensional weakly dependent data. (English) Zbl 1417.62260
GMM estimation of a realized stochastic volatility model: a Monte Carlo study. (English) Zbl 1490.62313
MSC:
62P05
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form. (English) Zbl 1490.62168
Generalized empirical likelihood specification test robust to local misspecification. (English) Zbl 1402.62203
Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data. (English) Zbl 1491.62214
Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators. (English) Zbl 1419.62064
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (English) Zbl 1419.62231
Optimal bandwidth selection for robust generalized method of moments estimation. (English) Zbl 1441.62904
High dimensional generalized empirical likelihood for moment restrictions with dependent data. (English) Zbl 1331.62188
Higher order mean squared error of generalized method of moments estimators for nonlinear models. (English) Zbl 1419.62510
Frequency domain generalized empirical likelihood method. (English) Zbl 1296.62170
Reviewer: Nikolai N. Leonenko (Cardiff)
Local GMM estimation of time series models with conditional moment restrictions. (English) Zbl 1443.62261
Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models. (English) Zbl 1206.62045
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments. (English) Zbl 1168.62055
Method-of-moments estimation and choice of instruments: numerical computations. (English) Zbl 1255.62336
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