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Details about A. Ronald Gallant

Homepage:http://www.aronaldg.org/
Postal address:P.O. Box 659 Chapel Hill NC 27514 USA
Workplace:Department of Economics, Pennsylvania State University, (more information at EDIRC)

Access statistics for papers by A. Ronald Gallant.

Last updated 2015-05-28. Update your information in the RePEc Author Service.

Short-id: pga696


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Working Papers

2013

  1. Generalized Method of Moments with Latent Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (1)

2012

  1. A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in Econometrics, University Library of Munich, Germany (1997) Downloads View citations (15)

    See also Journal Article in Journal of Econometrics (1997)
  2. Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
    Working Papers, Duke University, Department of Economics Downloads

2010

  1. Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  2. Habit, Long-Run Risks, Prospect? A Statistical Inquiry
    Working Papers, Duke University, Department of Economics Downloads
  3. Sign switching behavior of cross-county interest rate correlations: Theory and Evidence
    Working Papers, Duke University, Department of Economics Downloads
  4. Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (6)
    Working Papers, Duke University, Department of Economics (2010) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2011)

2008

  1. Estimating Dynamic Games of Complete Information with an Application to the Generic Pharmaceutical Industry
    2008 Meeting Papers, Society for Economic Dynamics Downloads

2007

  1. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    See also Journal Article in Review of Economic Studies (2007)

2002

  1. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics Downloads View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (17)

    See also Journal Article in Journal of Econometrics (2003)
  2. Efficient Method of Moments
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  3. Simulated Score Methods and Indirect Inference for Continuous-time Models
    Working Papers, Duke University, Department of Economics Downloads View citations (9)

2000

  1. Cross Validated SNP Density Estimates
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2002)
  2. Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in The Review of Economics and Statistics (1999)

1999

  1. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (24)

1997

  1. Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
    Working Papers, Duke University, Department of Economics View citations (7)

1996

  1. Comments on Calibration
    Working Papers, Duke University, Department of Economics Downloads
  2. Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square
    Working Papers, Duke University, Department of Economics Downloads View citations (3)
  3. Qualitative and Asymptotic Performance of SNP Density Estimators
    Working Papers, Duke University, Department of Economics View citations (33)
    See also Journal Article in Journal of Econometrics (1996)
  4. The Nonlinear Mixed Effects Model with a Smooth Random Effects Density
    Working Papers, Duke University, Department of Economics

1995

  1. EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide
    Working Papers, Duke University, Department of Economics Downloads
  2. Estimation of Continuous Time Models for Stock Returns and Interest Rates
    Working Papers, Duke University, Department of Economics View citations (8)
    See also Journal Article in Macroeconomic Dynamics (1997)
  3. Estimation of Stochastic Volatility Models with Diagnostics
    Working Papers, Duke University, Department of Economics View citations (11)
    See also Journal Article in Journal of Econometrics (1997)
  4. SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  5. Specification Analysis of Continuous Time Models in Finance
    Working Papers, Duke University, Department of Economics
  6. Which Moments to Match
    Working Papers, Duke University, Department of Economics View citations (19)
    See also Journal Article in Econometric Theory (1996)

1988

  1. ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83
    Working Papers, Chicago - Graduate School of Business View citations (2)
  2. SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS
    Working Papers, Chicago - Graduate School of Business View citations (6)
    See also Journal Article in Econometrica (1989)

1982

  1. Imposing Curvature Restrictions on Flexible Functional Forms
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads
    See also Journal Article in Journal of Econometrics (1984)

Undated

  1. Reproducing Partial Observed Systems with Application to Interest Rate Diffusions
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads
  2. Theory Matters: GARP, Separability, Aggregation, and Euler Equation Estimation
    Working Paper Series, North Carolina State University, Department of Economics

Journal Articles

2011

  1. Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors
    Journal of Economic Dynamics and Control, 2011, 35, (3), 386-393 Downloads View citations (37)
    See also Working Paper (2010)

2009

  1. On the Determination of General Scientific Models With Application to Asset Pricing
    Journal of the American Statistical Association, 2009, 104, (485), 117-131 Downloads View citations (3)

2008

  1. A Gaussian approximation scheme for computation of option prices in stochastic volatility models
    Journal of Econometrics, 2008, 146, (1), 44-58 Downloads View citations (1)

2007

  1. Comment
    Journal of Business & Economic Statistics, 2007, 25, 151-152 Downloads
  2. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    Review of Economic Studies, 2007, 74, (4), 1005-1033 Downloads View citations (54)
    See also Working Paper (2007)

2003

  1. Alternative models for stock price dynamics
    Journal of Econometrics, 2003, 116, (1-2), 225-257 Downloads View citations (336)
    See also Working Paper (2002)
  2. Purebred or hybrid?: Reproducing the volatility in term structure dynamics
    Journal of Econometrics, 2003, 116, (1-2), 147-180 Downloads View citations (12)

2002

  1. Cross-validated SNP density estimates
    Journal of Econometrics, 2002, 110, (1), 27-65 Downloads View citations (18)
    See also Working Paper (2000)
  2. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
    Journal of Business & Economic Statistics, 2002, 20, (3), 297-316 View citations (75)
  3. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply
    Journal of Business & Economic Statistics, 2002, 20, (3), 335-38 View citations (42)

2000

  1. SEPARABILITY, AGGREGATION, AND EULER EQUATION ESTIMATION
    Macroeconomic Dynamics, 2000, 4, (04), 547-572 Downloads View citations (1)

1999

  1. The relative efficiency of method of moments estimators1
    Journal of Econometrics, 1999, 92, (1), 149-172 Downloads View citations (23)
  2. Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance
    The Review of Economics and Statistics, 1999, 81, (4), 617-631 Downloads View citations (109)
    See also Working Paper (2000)

1997

  1. A single-blind controlled competition among tests for nonlinearity and chaos
    Journal of Econometrics, 1997, 82, (1), 157-192 Downloads View citations (112)
    See also Working Paper (2012)
  2. ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
    Macroeconomic Dynamics, 1997, 1, (01), 135-168 Downloads View citations (28)
    See also Working Paper (1995)
  3. Estimation of stochastic volatility models with diagnostics
    Journal of Econometrics, 1997, 81, (1), 159-192 Downloads View citations (128)
    See also Working Paper (1995)

1996

  1. Convergence Rates of SNP Density Estimators
    Econometrica, 1996, 64, (3), 719-27 Downloads View citations (20)
  2. Erratum [Convergence Rates of SNP Density Estimators]
    Econometrica, 1996, 64, (6), 1493 View citations (14)
  3. Qualitative and asymptotic performance of SNP density estimators
    Journal of Econometrics, 1996, 74, (1), 77-118 Downloads View citations (45)
    See also Working Paper (1996)
  4. Which Moments to Match?
    Econometric Theory, 1996, 12, (04), 657-681 Downloads View citations (453)
    See also Working Paper (1995)

1995

  1. Nonparametric estimation of structural models for high-frequency currency market data
    Journal of Econometrics, 1995, 66, (1-2), 251-287 Downloads View citations (61)
  2. Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
    Journal of Economic Behavior & Organization, 1995, 27, (2), 301-320 Downloads View citations (39)

1993

  1. Nonlinear Dynamic Structures
    Econometrica, 1993, 61, (4), 871-907 Downloads View citations (223)

1992

  1. Stock Prices and Volume
    Review of Financial Studies, 1992, 5, (2), 199-242 Downloads View citations (436)

1991

  1. Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality
    Econometric Theory, 1991, 7, (03), 307-340 Downloads View citations (32)
  2. On the asymptotic normality of Fourier flexible form estimates
    Journal of Econometrics, 1991, 50, (3), 329-353 Downloads View citations (38)

1990

  1. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    Journal of Econometrics, 1990, 45, (1-2), 141-179 Downloads View citations (56)

1989

  1. Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
    Econometrica, 1989, 57, (5), 1091-1120 Downloads View citations (140)
    See also Working Paper (1988)

1987

  1. Semi-nonparametric Maximum Likelihood Estimation
    Econometrica, 1987, 55, (2), 363-90 Downloads View citations (285)

1985

  1. Editor's introduction
    Journal of Econometrics, 1985, 30, (1-2), 1-1 Downloads
  2. Estimating substitution elasticities with the Fourier cost function: Some Monte Carlo results
    Journal of Econometrics, 1985, 28, (2), 205-222 Downloads View citations (33)
  3. Explicitly infinite-dimensional Bayesian analysis of production technologies
    Journal of Econometrics, 1985, 30, (1-2), 171-201 Downloads View citations (1)

1984

  1. Costs and benefits of peak-load pricing of electricity: A continuous-time econometric approach
    Journal of Econometrics, 1984, 26, (1-2), 83-113 Downloads View citations (5)
  2. Imposing curvature restrictions on flexible functional forms
    Journal of Econometrics, 1984, 26, (3), 295-321 Downloads View citations (79)
    See also Working Paper (1982)

1983

  1. An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form
    Econometrica, 1983, 51, (6), 1731-51 Downloads View citations (25)
  2. The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression: Alternatives and a new distribution-free Cox test
    Journal of Econometrics, 1983, 21, (1), 5-33 Downloads View citations (1)

1982

  1. Unbiased determination of production technologies
    Journal of Econometrics, 1982, 20, (2), 285-323 Downloads View citations (131)

1981

  1. On the bias in flexible functional forms and an essentially unbiased form: The fourier flexible form
    Journal of Econometrics, 1981, 15, (2), 211-245 Downloads View citations (306)

1980

  1. Computations for constrained linear models
    Journal of Econometrics, 1980, 12, (1), 59-84 Downloads
  2. Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation
    Econometrica, 1980, 48, (3), 697-720 Downloads View citations (18)

1979

  1. Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation
    Journal of Econometrics, 1979, 11, (2-3), 275-302 Downloads View citations (99)

1977

  1. Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations
    Journal of Econometrics, 1977, 5, (1), 71-88 Downloads View citations (35)

1975

  1. Diffuse Decision-Making in Hierarchical Organizations: An Empirical Examination
    Management Science, 1975, 21, (6), 697-707 Downloads
  2. Seemingly unrelated nonlinear regressions
    Journal of Econometrics, 1975, 3, (1), 35-50 Downloads View citations (40)

Edited books

1997

  1. Nonlinear Models, vol Two volume set
    Books, Edward Elgar Publishing Downloads View citations (12)

Editor

  1. Journal of Econometrics
    Elsevier
 
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