• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times

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