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15-138/III - Generalized Autoregressive Method of Moments


  • Authors
    Drew Creal, The University of Chicago Booth School of Business, United States; Siem Jan Koopman, VU University Amsterdam, the Netherlands; VU University Amsterdam, the Netherlands; Marcin Zamojski, VU University Amsterdam, the Netherlands
  • Publication date
    December 24, 2015
  • Keywords
    dynamic models, time-varying parameters, generalized method of moments, non-linearity
  • JEL
    C10, C22, C32, C51