Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.
One of the key assumptions of regression is that the variance of the errors is constant across observations. Correcting for heteroscedasticity improves the efficiency of the estimates. If you had a ...
A linearized logit version of Pinkse and Slade's spatial GMM estimator reduces estimation to two steps—standard logit followed by two-stage least squares. Linearization produces a model that can be ...
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