Model specification and estimation strategies

14 setembro 2026, 19:00 • Szabolcs Sebestyén

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Limited Information: GMM Estimators

• Linear Projection as a GMM Estimator
• Quasi-Maximum Likelihood Estimation
• Application: Interest Rate Models
• GMM Estimation of Stochastic Discount Factors

Large-Sample Properties of Extremum Estimators

Model specification and estimation strategies

14 setembro 2026, 17:30 • Szabolcs Sebestyén

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Full Information about Distributions: Maximum Likelihood
No Information about Distributions: Projections
Limited Information: GMM Estimators

• Unconditional Moment Restrictions
• Conditional Moment Restrictions

Introduction

7 setembro 2026, 19:00 • Szabolcs Sebestyén

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Model-Implied Restrictions

• Beta Representations of Excess Returns
• Linear Pricing Relations

Econometric Estimation Strategies

Introduction

7 setembro 2026, 17:30 • Szabolcs Sebestyén

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