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MEAN SQUARED ERROR REDUCTION FOR GMM ESTIMATORS OF LINEAR TIME SERIES MODELS
GMM LINEAR TIME SERIES MODELS
2015/9/22
In this paper we analyze Generalized Method of Moments (GMM) estimators for time
series models as advocated by Hansen and Singleton. It is well known that these estimators
achieve efficiency bo...
This paper extends kernel weighted GMM estimators recently proposed by the author in
the context of homoskedastic processes to a class of models with conditionally heteroskedastic
innovations. GMM e...