GMM Estimation with Optimal Instruments

BOOK CHAPTER published 2001 in Lecture Notes in Economics and Mathematical Systems

Authors: Joachim Inkmann

Nonparametric frontier estimation: a robust approach

JOURNAL ARTICLE published January 2002 in Journal of Econometrics

Authors: Catherine Cazals | Jean-Pierre Florens | Léopold Simar

Instrumental variable estimation in the presence of many moment conditions

JOURNAL ARTICLE published November 2011 in Journal of Econometrics

Authors: Ryo Okui

Entropy and predictability of stock market returns

JOURNAL ARTICLE published March 2002 in Journal of Econometrics

Authors: Esfandiar Maasoumi | Jeff Racine

The Wage Rate Estimation Using the Heckman Procedure

JOURNAL ARTICLE published 1 April 1994 in Brazilian Review of Econometrics

Authors: Ana Lucia Kassouf

Generalized empirical likelihood non-nested tests

JOURNAL ARTICLE published March 2002 in Journal of Econometrics

Authors: Joaquim J.S. Ramalho | Richard J. Smith

Conditional Value-at-Risk: Semiparametric estimation and inference

JOURNAL ARTICLE published November 2016 in Journal of Econometrics

Research funded by National Institute on Drug Abuse (P50-DA10075-15) | National Science Foundation (DMS-1309213)

Authors: Chuan-Sheng Wang | Zhibiao Zhao

Properties and estimation of asymmetric exponential power distribution

JOURNAL ARTICLE published January 2009 in Journal of Econometrics

Authors: Dongming Zhu | Victoria Zinde-Walsh

Triangular structural model specification and estimation with application to causality

JOURNAL ARTICLE published January 2003 in Journal of Econometrics

Authors: Jerry A Hausman

On the Sensitivity of the t-Statistic

BOOK CHAPTER published 29 January 2002 in Handbook Of Applied Econometrics And Statistical Inference

Authors: Anil Bera | Aurobindo Ghosh | R Farebrother | Maxwell King | Kim-Leng Goh | Jan Magnus

Inconsistency of naive GMM estimation for QR models with endogenous regressors

JOURNAL ARTICLE published April 2002 in Economics Letters

Authors: Riccardo Lucchetti

Semiparametric estimation of binary response models with endogenous regressors

JOURNAL ARTICLE published November 2009 in Journal of Econometrics

Authors: Christoph Rothe

Bayesian Approaches to Shrinkage and Sparse Estimation

JOURNAL ARTICLE published 2022 in Foundations and Trends® in Econometrics

Authors: Dimitris Korobilis | Kenichi Shimizu

Recursive Estimation in Econometrics

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: D.S.G. Pollock

Consistent order selection with strongly dependent data and its application to efficient estimation

JOURNAL ARTICLE published October 2002 in Journal of Econometrics

Authors: Javier Hidalgo

Pick-me-up

JOURNAL ARTICLE published 1 November 2002 in Work Study

Confidence intervals in generalized method of moments models

JOURNAL ARTICLE published March 2002 in Journal of Econometrics

Authors: Guido W. Imbens | Richard Spady

Stationarity of stable power-GARCH processes

JOURNAL ARTICLE published January 2002 in Journal of Econometrics

Authors: Stefan Mittnik | Marc S. Paolella | Svetlozar T. Rachev

12. Estimation of Diffusion Models

BOOK CHAPTER published 31 December 2002 in Financial Econometrics

Maximum likelihood estimation of time-inhomogeneous diffusions

JOURNAL ARTICLE published May 2003 in Journal of Econometrics

Authors: Alexei V. Egorov | Haitao Li | Yuewu Xu