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Journal of the American Statistical Association Volume 83, 1988 - Issue 403
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Theory and Method

Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions

Lars Peter Hansen Department of Economics, University of Chicago, Chicago, IL, 60637, USA; Economics Research Center, National Opinion Research Center, 1155 East 60th Street, Chicago, IL, 60637, USA
,
John C. Heaton Department of Economics, University of Chicago, Chicago, IL, 60637, USA; Economics Research Center, National Opinion Research Center, 1155 East 60th Street, Chicago, IL, 60637, USA
&
Masao Ogaki Department of Economics, University of Rochester, Rochester, NY, 14627, USA
Pages 863-871 | Received 01 Dec 1985, Published online: 12 Mar 2012

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KennethD. West, Ka-fu Wong & Stanislav Anatolyev. (2009) Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments. Econometric Reviews 28:5, pages 441-467.
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Catherine Doz & Eric Renault. (2006) Factor Stochastic Volatility in Mean Models: A GMM Approach. Econometric Reviews 25:2-3, pages 275-309.
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Lars Peter Hansen & KennethJ. Singleton. (1996) Efficient Estimation of Linear Asset-Pricing Models With Moving Average Errors. Journal of Business & Economic Statistics 14:1, pages 53-68.
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Gary Chamberlain. (1992) Comment: Sequential Moment Restrictions in Panel Data. Journal of Business & Economic Statistics 10:1, pages 20-26.
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Benedikt M. Pötscher & Ingmar R. Prucha. (1991) Basic structure of the asymptotic theory in dynamic nonlinear econometric models. Econometric Reviews 10:3, pages 253-325.
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Allan W. Gregory & Gregor W. Smith. (1990) Calibration as estimation. Econometric Reviews 9:1, pages 57-89.
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