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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...
INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS
Cointegration error correction models vector autoregressio
2014/3/18
This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector auto...