[gallant_tauchen] Add a lecture on Gallant and Tauchen's efficient method of moments

lectures/_static/quant-econ.bib

@@ -5697,3 +5697,188 @@ @article{AlvarezLippi2014
   pages   = {89--135},
   year    = {2014}
 }
+
+@article{GallantTauchen1996,
+  author  = {Gallant, A. Ronald and Tauchen, George},
+  title   = {Which Moments to Match?},
+  journal = {Econometric Theory},
+  volume  = {12},
+  number  = {4},
+  pages   = {657--681},
+  year    = {1996},
+  doi     = {10.1017/S0266466600006976}
+}
+
+@incollection{GallantTauchen2010,
+  author    = {Gallant, A. Ronald and Tauchen, George},
+  title     = {Simulated Score Methods and Indirect Inference for Continuous-Time Models},
+  booktitle = {Handbook of Financial Econometrics: Tools and Techniques},
+  editor    = {Aït-Sahalia, Yacine and Hansen, Lars Peter},
+  volume    = {1},
+  pages     = {427--477},
+  publisher = {Elsevier},
+  year      = {2010},
+  doi       = {10.1016/B978-0-444-50897-3.50011-0}
+}
+
+@article{White1982,
+  author  = {White, Halbert},
+  title   = {Maximum Likelihood Estimation of Misspecified Models},
+  journal = {Econometrica},
+  volume  = {50},
+  number  = {1},
+  pages   = {1--25},
+  year    = {1982},
+  doi     = {10.2307/1912526}
+}
+
+@article{GourierouxMonfortRenault1993,
+  author  = {Gourieroux, Christian and Monfort, Alain and Renault, Eric},
+  title   = {Indirect Inference},
+  journal = {Journal of Applied Econometrics},
+  volume  = {8},
+  number  = {S1},
+  pages   = {S85--S118},
+  year    = {1993},
+  doi     = {10.1002/jae.3950080507}
+}
+
+@article{Smith1993,
+  author  = {Smith, Anthony A.},
+  title   = {Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions},
+  journal = {Journal of Applied Econometrics},
+  volume  = {8},
+  number  = {S1},
+  pages   = {S63--S84},
+  year    = {1993},
+  doi     = {10.1002/jae.3950080506}
+}
+
+@article{GallantNychka1987,
+  author  = {Gallant, A. Ronald and Nychka, Douglas W.},
+  title   = {Semi-Nonparametric Maximum Likelihood Estimation},
+  journal = {Econometrica},
+  volume  = {55},
+  number  = {2},
+  pages   = {363--390},
+  year    = {1987},
+  doi     = {10.2307/1913241}
+}
+
+@article{GallantTauchen1989,
+  author  = {Gallant, A. Ronald and Tauchen, George},
+  title   = {Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications},
+  journal = {Econometrica},
+  volume  = {57},
+  number  = {5},
+  pages   = {1091--1120},
+  year    = {1989},
+  doi     = {10.2307/1913624}
+}
+
+@article{GallantHsiehTauchen1997,
+  author  = {Gallant, A. Ronald and Hsieh, David and Tauchen, George},
+  title   = {Estimation of Stochastic Volatility Models with Diagnostics},
+  journal = {Journal of Econometrics},
+  volume  = {81},
+  number  = {1},
+  pages   = {159--192},
+  year    = {1997},
+  doi     = {10.1016/S0304-4076(97)00039-0}
+}
+
+@article{BansalGallantHusseyTauchen1995,
+  author  = {Bansal, Ravi and Gallant, A. Ronald and Hussey, Robert and Tauchen, George},
+  title   = {Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data},
+  journal = {Journal of Econometrics},
+  volume  = {66},
+  number  = {1-2},
+  pages   = {251--287},
+  year    = {1995},
+  doi     = {10.1016/0304-4076(94)01618-A}
+}
+
+@article{AndersenBenzoniLund2002,
+  author  = {Andersen, Torben G. and Benzoni, Luca and Lund, Jesper},
+  title   = {An Empirical Investigation of Continuous-Time Equity Return Models},
+  journal = {Journal of Finance},
+  volume  = {57},
+  number  = {3},
+  pages   = {1239--1284},
+  year    = {2002},
+  doi     = {10.1111/1540-6261.00460}
+}
+
+@book{Gallant1987,
+  author    = {Gallant, A. Ronald},
+  title     = {Nonlinear Statistical Models},
+  publisher = {Wiley},
+  year      = {1987},
+  doi       = {10.1002/9780470316719}
+}
+
+@article{Andrews1991,
+  author  = {Andrews, Donald W. K.},
+  title   = {Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation},
+  journal = {Econometrica},
+  volume  = {59},
+  number  = {3},
+  pages   = {817--858},
+  year    = {1991},
+  doi     = {10.2307/2938229}
+}
+
+@article{BollerslevWooldridge1992,
+  author  = {Bollerslev, Tim and Wooldridge, Jeffrey M.},
+  title   = {Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances},
+  journal = {Econometric Reviews},
+  volume  = {11},
+  number  = {2},
+  pages   = {143--172},
+  year    = {1992},
+  doi     = {10.1080/07474939208800229}
+}
+
+@article{DuffeeStanton2008,
+  author  = {Duffee, Gregory R. and Stanton, Richard H.},
+  title   = {Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation},
+  journal = {Journal of Financial Econometrics},
+  volume  = {6},
+  number  = {1},
+  pages   = {108--142},
+  year    = {2008},
+  doi     = {10.1093/jjfinec/nbm014}
+}
+
+@article{McFadden1989,
+  author  = {McFadden, Daniel},
+  title   = {A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration},
+  journal = {Econometrica},
+  volume  = {57},
+  number  = {5},
+  pages   = {995--1026},
+  year    = {1989},
+  doi     = {10.2307/1913621}
+}
+
+@article{PakesPollard1989,
+  author  = {Pakes, Ariel and Pollard, David},
+  title   = {Simulation and the Asymptotics of Optimization Estimators},
+  journal = {Econometrica},
+  volume  = {57},
+  number  = {5},
+  pages   = {1027--1057},
+  year    = {1989},
+  doi     = {10.2307/1913622}
+}
+
+@article{DuffieSingleton1993,
+  author  = {Duffie, Darrell and Singleton, Kenneth J.},
+  title   = {Simulated Moments Estimation of {Markov} Models of Asset Prices},
+  journal = {Econometrica},
+  volume  = {61},
+  number  = {4},
+  pages   = {929--952},
+  year    = {1993},
+  doi     = {10.2307/2951768}
+}

lectures/_toc.yml

@@ -50,6 +50,7 @@ parts:
   - file: survival_recursive_preferences
   - file: pricing_information
   - file: market_diffusion
+  - file: gallant_tauchen
 - caption: Linear Programming
   numbered: true
   chapters: