SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS

SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS

In this paper, the authors describe the selection methods for moments and the application of the generalized moments method for the heteroskedastic models. The utility of GMM estimators is found in the study of the financial market models. The selection criteria for moments are applied for the ef...

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Main Authors: Constantin ANGHELACHE, Alexandru MANOLE, Mădălina-Gabriela ANGHEL
Format: Article
Language:English
Published: Academy of the Economic Studies of Moldova 2016-06-01
Series:Economica
Subjects:
moments estimators
approximation
restriction
dependence
Online Access:http://irek.ase.md/xmlui/bitstream/handle/123456789/159/ec_2016_2_Anghelache_Manole_Anghel_Selectia.pdf?sequence=1&isAllowed=y
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spelling doaj-6bcaa0d87a734a7fa69ffe4d5fa0e1a72020-11-25T00:38:24ZengAcademy of the Economic Studies of MoldovaEconomica1810-91361810-91362016-06-01296131135SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELSConstantin ANGHELACHE0Alexandru MANOLE1Mădălina-Gabriela ANGHEL2Bucharest University of Economic Studies“Artifex” University of Bucharest“Artifex” University of BucharestIn this paper, the authors describe the selection methods for moments and the application of the generalized moments method for the heteroskedastic models. The utility of GMM estimators is found in the study of the financial market models. The selection criteria for moments are applied for the efficient estimation of GMM for univariate time series with martingale difference errors, similar to those studied so far by Kuersteiner. http://irek.ase.md/xmlui/bitstream/handle/123456789/159/ec_2016_2_Anghelache_Manole_Anghel_Selectia.pdf?sequence=1&isAllowed=ymoments estimatorsapproximationrestrictiondependence
collection DOAJ
language English
format Article
sources DOAJ
author Constantin ANGHELACHE
Alexandru MANOLE
Mădălina-Gabriela ANGHEL
spellingShingle Constantin ANGHELACHE
Alexandru MANOLE
Mădălina-Gabriela ANGHEL
SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
Economica
moments estimators
approximation
restriction
dependence
author_facet Constantin ANGHELACHE
Alexandru MANOLE
Mădălina-Gabriela ANGHEL
author_sort Constantin ANGHELACHE
title SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
title_short SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
title_full SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
title_fullStr SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
title_full_unstemmed SELECTION MOMENTS AND GENERALIZED METHOD OF MOMENTS FOR HETEROSKEDASTIC MODELS
title_sort selection moments and generalized method of moments for heteroskedastic models
publisher Academy of the Economic Studies of Moldova
series Economica
issn 1810-9136
1810-9136
publishDate 2016-06-01
description In this paper, the authors describe the selection methods for moments and the application of the generalized moments method for the heteroskedastic models. The utility of GMM estimators is found in the study of the financial market models. The selection criteria for moments are applied for the efficient estimation of GMM for univariate time series with martingale difference errors, similar to those studied so far by Kuersteiner.
topic moments estimators
approximation
restriction
dependence
url http://irek.ase.md/xmlui/bitstream/handle/123456789/159/ec_2016_2_Anghelache_Manole_Anghel_Selectia.pdf?sequence=1&isAllowed=y
work_keys_str_mv AT constantinanghelache selectionmomentsandgeneralizedmethodofmomentsforheteroskedasticmodels
AT alexandrumanole selectionmomentsandgeneralizedmethodofmomentsforheteroskedasticmodels
AT madalinagabrielaanghel selectionmomentsandgeneralizedmethodofmomentsforheteroskedasticmodels
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