{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T12:20:40Z","timestamp":1770985240733,"version":"3.50.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2002,9,24]],"date-time":"2002-09-24T00:00:00Z","timestamp":1032825600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,12]]},"abstract":"<jats:p>This paper analyzes the limit distribution of minimum distance \n(MD) estimators for nonstationary time series models that involve \nnonlinear parameter restrictions. A rotation for the restricted \nparameter space is constructed to separate the components of \nthe MD estimator that converge at different rates. We derive \nregularity conditions for the restriction function that are \neasier to verify than the stochastic equicontinuity conditions \nthat arise from direct estimation of the restricted parameters. \nThe sequence of matrices that is used to weigh the discrepancy \nbetween the unrestricted estimates and the restriction function \nis allowed to have a stochastic limit. For MD estimators based \non unrestricted estimators with a mixed normal asymptotic \ndistribution the optimal weight matrix is derived and a \ngoodness-of-fit test is proposed. Our estimation theory is \nillustrated in the context of a permanent-income model and a \npresent-value model.<\/jats:p>","DOI":"10.1017\/s0266466602186063","type":"journal-article","created":{"date-parts":[[2008,4,21]],"date-time":"2008-04-21T06:47:01Z","timestamp":1208760421000},"page":"1385-1407","source":"Crossref","is-referenced-by-count":14,"title":["MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS"],"prefix":"10.1017","volume":"18","author":[{"given":"Hyungsik Roger","family":"Moon","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Frank","family":"Schorfheide","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2002,9,24]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602186063","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,6]],"date-time":"2019-05-06T20:18:54Z","timestamp":1557173934000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602186063\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,9,24]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2002,12]]}},"alternative-id":["S0266466602186063"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602186063","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,9,24]]}}}