Mengshan Xu

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

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Scholarly Papers (1)

1.

Improved Estimation of Dynamic Models of Conditional Means and Variances

Number of pages: 35 Posted: 29 Sep 2020
University of Yorkaffiliation not provided to SSRN, Michigan State University - Department of Economics and London School of Economics & Political Science (LSE)
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Abstract:

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Dynamic Models, GEE, QMLE, GARCH, Optimal Instrument, Efficiency