Arbeitspapier
Generalized Autoregressive Method of Moments
We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process driven by the score of the local GMM criterion function. Our approach is completely observation driven, rendering estimation and inference straightforward. It provides a unified framework for modeling parameter instability in a context where the model and its parameters are only specified through (conditional) moment conditions, thus generalizing approaches built on fully specified parametric models. We provide examples of increasing complexity to highlight the advantages of our method.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 15-138/III
- Classification
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Wirtschaft
Econometric and Statistical Methods and Methodology: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
- Subject
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dynamic models
time-varying parameters
generalized method of moments
non-linearity
- Event
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Geistige Schöpfung
- (who)
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Creal, Drew
Koopman, Siem Jan
Lucas, André
Zamojski, Marcin
- Event
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Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Creal, Drew
- Koopman, Siem Jan
- Lucas, André
- Zamojski, Marcin
- Tinbergen Institute
Time of origin
- 2015
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