This chapter provides an overview of asymptotic results available for parametric estimators
in dynamic models. Three cases are treated: stationary (or essentially stationary) weakly …

Publisher Summary This chapter aims to discuss (asymptotically) efficient estimation of the
parameters of conditional moment restriction models. A useful type of model that imposes …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This paper investigates the testable restrictions on the time-series behavior of consumption
and asset returns implied by a representative agent model in which intertemporal …

Generalized method of moments (GMM) was first introduced into the econometrics literature
by Lars Hansen in 1982. Since then, GMM has had considerable impact on the theory and …

This paper studies distribution-free estimation of some multiplicative unobserved
components panel data models. One class of estimators requires only specification of the …

Semiparametric models are those where the functional form of some components is
unknown. Efficiency bounds are of fundamental importance for such models. They provide a …

The paper derives efficiency bounds for conditional moment restrictions with a
nonparametric component. The data form a random sample from a distribution F. There is a …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

We exploit the distributional information contained in high-frequency intraday data in
constructing a simple conditional moment estimator for stochastic volatility diffusions. The …