A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting ...
Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.
This is the metadata section. Skip to content viewer section. We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method ...
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