GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)

被引：13

作者：

Andersen, TG ^{[1
]}

Sorensen, BE ^{[1
]}

机构：

[1] BROWN UNIV,DEPT ECON,PROVIDENCE,RI 02912

来源：

JOURNAL OF ECONOMETRICS | 1997年 / 76卷 / 1-2期

关键词：

optimal weighting matrix; asymptotic bias; relative efficiency;

D O I：

10.1016/0304-4076(95)01799-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note describes a practical procedure for arbitrarily precise calculation of the GMM asymptotic standard deviations for the parameters in a stochastic volatility model. Earlier results provided by Ruiz (1994) are flawed on this point. The correct numbers are in some cases orders of magnitude different from the prior published figures. The implications regarding the relative efficiency between GMM and QML estimates are briefly discussed.

引用

页码：397 / 403

页数：7

共 12 条

[1]

ANDERSEN T, 1994, J BUSINESS EC STAT, V14, P328

[2] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].