Efficient estimation of general dynamic models with a continuum of moment conditions

被引:71
作者
Carrasco, Marine [1 ]
Chernov, Mikhail
Florens, Jean-Pierre
Ghysels, Eric
机构
[1] Univ Montreal, Montreal, PQ H3C 3J7, Canada
[2] Columbia Univ, Grad Sch Business, New York, NY 10027 USA
[3] Univ Toulouse, F-31000 Toulouse, France
[4] Univ N Carolina, Chapel Hill, NC 27599 USA
基金
美国国家科学基金会;
关键词
characteristic function; efficient estimation; affine models;
D O I
10.1016/j.jeconom.2006.07.013
中图分类号
F [经济];
学科分类号
02 ;
摘要
There are two difficulties with the implementation of the characteristic function-based estimators. First, the optimal instrument yielding the ML efficiency depends on the unknown probability density function. Second, the need to use a large set of moment conditions leads to the singularity of the covariance matrix. We resolve the two problems in the framework of GMM with a continuum of moment conditions. A new optimal instrument relies on the double indexing and, as a result, has a simple exponential form. The singularity problem is addressed via a penalization term. We introduce HAC-type estimators for non-Markov models. A simulated method of moments is proposed for non-analytical cases. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码:529 / 573
页数:45
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