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