Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.
A linearized logit version of Pinkse and Slade's spatial GMM estimator reduces estimation to two steps—standard logit followed by two-stage least squares. Linearization produces a model that can be ...
One of the key assumptions of regression is that the variance of the errors is constant across observations. Correcting for heteroscedasticity improves the efficiency of the estimates. If you had a ...
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