Abstract
This note describes a practical procedure for arbitrarily precise calculation of the GMM asymptotic standard deviations for the parameters in a stochastic volatility model. Earlier results provided by Ruiz (1994) are flawed on this point. The correct numbers are in some cases orders of magnitude different from the prior published figures. The implications regarding the relative efficiency between GMM and QML estimates are briefly discussed.
Original language | English (US) |
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Pages (from-to) | 397-403 |
Number of pages | 7 |
Journal | Journal of Econometrics |
Volume | 76 |
Issue number | 1-2 |
DOIs | |
State | Published - Jan 1 1997 |
Keywords
- Asymptotic bias
- Optimal weighting matrix
- Relative efficiency
ASJC Scopus subject areas
- Economics and Econometrics
- Applied Mathematics