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dc.contributor.author Tauchen, George en_US
dc.date.accessioned 2010-03-09T15:43:18Z
dc.date.available 2010-03-09T15:43:18Z
dc.date.issued 1996 en_US
dc.identifier.uri http://hdl.handle.net/10161/2065
dc.description.abstract reviews recently developed simulation-based minimum chi-square estimators for structural models. Particular attention is paid to selection of the auxiliary model that defines the GMM-type criterion used in the minimum chi-square estimation. Considerations of statistical efficiency and behavior under misspecification make a strong case for using a very flexible, nonparametric approach to select the auxiliary model. To avoid a numerically ill-behaved GMM criterion function, the dynamic stability of the auxiliary model must also be verified, though, interestingly, the dynamic stability of the structural model itself is automatically enforced and need not be imposed in estimation. The empirical application involves estimation of a single-factor diffusion model for the 30-day Eurodollar interest rate. en_US
dc.format.extent 563549 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher SSRN eLibrary en_US
dc.subject GMM en_US
dc.subject simulations en_US
dc.subject structural models en_US
dc.title New Minimum Chi-Square Methods in Empirical Finance en_US
dc.type Journal Article en_US
dc.department Economics

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