Improved estimation of dynamic models of conditional means and variances

Using ‘working’ assumptions on conditional third and fourth moments of errors, we propose a method of moments estimator that can have improved efficiency over the popular Gaussian quasi‐maximum likelihood estimator (GQMLE). Higher‐order moment assumptions are not needed for consistency – we only req...

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Veröffentlicht in:	Journal of time series analysis 2024-08
Hauptverfasser:	Wang, Weining, Wooldridge, Jeffrey M., Xu, Mengshan
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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