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Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
16 references·3 citing·51 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 1991Understanding Unit Rooters: A Helicopter Tour451 cited
  • 1994Approximately Median-Unbiased Estimation of Autoregressive Models428 cited
  • 1999Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study220 cited
  • 2012Estimation of Dynamic Term Structure Models206 cited
  • 1992Trends and Random Walks in Macroeconomic Time Series: A Re-Examination160 cited
  • 2000Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators159 cited
  • 1948A Study of the Autoregressive Nature of the Time Series Used for Tinbergen’s Model of the Economic System of the United States, 1919-1932132 cited
  • 1995Nonparametric estimation of structural models for high-frequency currency market data

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130 cited
  • 1996Unit roots and the estimation of interest rate dynamics101 cited
  • 2000Calibration by simulation for small sample bias correction90 cited
  • Cited by

    • 2009Stochastic Volatility33 cited
    • 2021An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks30 cited
    • 2012Identification and Estimation of Gaussian Affine Term Structure Models28 cited