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Which Moments to Match?
We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is toExpand
Semi-nonparametric Maximum Likelihood Estimation
Often maximum likelihood is the method of choice for fitting an econometric model to data but cannot be used because the correct specific ation of (multivariate) density that defines the likelihoodExpand
Quadratic Term Structure Models: Theory and Evidence
This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying stateExpand
Nonlinear Statistical Models
Univariate Nonlinear Regression. Univariate Nonlinear Regression: Special Situations. A Unified Asymptotic Theory for Nonlinear Models with Regression Structure. Univariate Nonlinear Regression:Expand
Alternative models for stock price dynamics
This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. WeExpand
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways toExpand
On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form
Abstract The Fourier flexible form and its derived expenditure system are introduced. Subject to smoothness conditions on the consumer's true indirect utility function, the consumer's trueExpand
A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models
2. The data generation process and optimization estimators 3. Consistency of optimization estimators 4. More on near epoch dependence 5. Asymptotic mormality 6. Estimating asymptotic cavarianceExpand
Stock Prices and Volume
The authors undertake a comprehensive investigation of price and volume co-movement using daily New York Stock Exchange data from 1928 to 1987. They adjust the data to take into account well-knownExpand
Unbiased determination of production technologies
Abstract To determine whether an industry exhibits constant returns to scale, whether the production function is homothetic, or whether inputs are separable, a common approach is to specify a costExpand