Generalized method of integrated moments for high-frequency data
We propose a semiparametric two‐step inference procedure for a finite‐dimensional parameter based on moment conditions constructed from high‐frequency data. The population moment conditions take the form of temporally integrated functionals of state‐variable processes that include the latent stochas...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2526 https://ink.library.smu.edu.sg/context/soe_research/article/3525/viewcontent/Li_hmm.pdf |
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| Institution: | Singapore Management University |
| Language: | English |