• Graduate program
  • Research
  • News
  • Events
    • Events Calendar
    • Events Archive
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

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