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econ.EM2021
Generalized Covariance Estimator
Christian Gourieroux, Joann Jasiak
We consider a class of semi-parametric dynamic models with strong white noise errors. This class of processes includes the standard Vector Autoregressive (VAR) model, the nonfundam…
stat.ME2021
Temporally Local Maximum Likelihood with Application to SIS Model
Christian Gourieroux, Joann Jasiak
The parametric estimators applied by rolling are commonly used in the analysis of time series with nonlinear features, such as structural change due to time varying parameters and…