• Graduate program
  • Research
  • Summer School
  • Events
    • Summer School
      • Sustainable Finance
      • Applied Public Policy Evaluation
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From preference to choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • 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
Download here