A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models

By James Davidson, A. Gallant, Halbert White. 1988

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Citations in the corpus

HAC estimation in a spatial framework (2007, methodology): “Contributions to this research in the econometrics literature include, among others, Newey and West (1987), Gallant and White (1988), Andrews (1991), Andrews and Monahan (1992), Pötscher and Prucha (1997) and de Jong and Davidson (2000).”
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016, unknown): “41 see for example White (1994, Theorem 3.4) or Theorem 3.3 in Gallant and White (1988) for further details.”
The jump-risk premia implicit in options: evidence from an integrated time-series study $ (2002, unknown): “3 in Gallant and White (1988).]”
Bootstrap Standard Error Estimates for Linear Regression (2005, methodology): “Recently, Gonçalves and White (2004) established the first-order asymptotic validity of the MBB for the framework of Gallant and White (1988).”
Multi-scale tests for serial correlation (2015, background): “Example 5 (GARCH(1, 1)withα-mixing innovations, Hansen (1991)). Let {εt} be a α-mixing process and define xt = σtεt , σ 2 t = ω + βσ 2 t−1 + αx 2 t−1 for some real numbers ω, β , and α. Hansen (1991) shows that if  E  β + αε2 t p |F t−1 −∞ (ε) 1/r ≤ c < 1 a.”
Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity (2018, background): “Proposition 2 provides results on the variance and covariances of linear quadratic forms under assumptions which are sufficiently general to cover the linear quadratic moment conditions considered in (22).”