This chapter provides an overview of asymptotic results available for parametric estimators
in dynamic models. Three cases are treated: stationary (or essentially stationary) weakly …

We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test
statistics in dynamic models that jointly parameterize conditional means and conditional …

As the importance of expectations and the impact of uncertainty generally in the
determination of economic relationships has grown, there has been a tendency to estimate …

This paper investigates the asymptotic theory for a vector autoregressive moving average–
generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) model. The …

Recent advances in establishing the nature and scope of estimators in econometrics have
shed more light on the importance of instrumental variables. In this book, the authors argue …

We consider a stylized dynamic pricing model in which a monopolist prices a product to a
sequence of T customers who independently make purchasing decisions based on the price …

An estimation procedure for stochastic processes based on the minimization of a sum of
squared deviations about conditional expectations is developed. Strong consistency …

In the context of a linear dynamic model with moving average errors, we consider a
heteroscedastic model which represents an extension of the ARCH model introduced by …

This paper provides a proof of the consistency and asymptotic normality of the quasi-
maximum likelihood estimator in GARCH (1, 1) and IGARCH (1, 1) models. In contrast to the …

This second edition of Models for Repeated Measurements has been comprehensively
revised and updated, taking into account the huge amount of research that has been carried …