Arbeitspapier
A simple efficient GMM estimator of GARCH models
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.
- Sprache
-
Englisch
- Erschienen in
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 434
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
GARCH
GARCH-M
efficient GMM
ARCH-Modell
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Skoglund, Jimmy
- Ereignis
-
Veröffentlichung
- (wer)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (wo)
-
Stockholm
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Skoglund, Jimmy
- Stockholm School of Economics, The Economic Research Institute (EFI)
Entstanden
- 2001
Ähnliche Objekte (12)
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A reduced bias GMM-like estimator with reduced estimator dispersion
Identification of the covariance structure of earnings using the GMM estimator
Identification of the covariance structure of earnings using the gmm estimator
Efficiency comparisons for a system GMM estimator in dynamic panel data models
The weak instrument problem of the system GMM estimator in dynamic panel data models
The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator
A simple estimator for the distribution of random coefficients
A simple nonparametric estimator of a monotone regression function
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A reduced bias GMM-like estimator with reduced estimator dispersion
Identification of the covariance structure of earnings using the GMM estimator
Identification of the covariance structure of earnings using the gmm estimator
Efficiency comparisons for a system GMM estimator in dynamic panel data models
The weak instrument problem of the system GMM estimator in dynamic panel data models
The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator
A simple estimator for the distribution of random coefficients
A simple nonparametric estimator of a monotone regression function
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A simple GMM estimator for the semi-parametric mixed proportional hazard model
A reduced bias GMM-like estimator with reduced estimator dispersion
Identification of the covariance structure of earnings using the GMM estimator
Identification of the covariance structure of earnings using the gmm estimator
Efficiency comparisons for a system GMM estimator in dynamic panel data models
The weak instrument problem of the system GMM estimator in dynamic panel data models
The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Identifying the elasticity of substitution between capital and labour: A pooled GMM panel estimator
Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator
A simple estimator for the distribution of random coefficients