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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Jump to Journal Articles Edited books Editor

Working Papers

2018

1. Does Smooth Ambiguity Matter for Asset Pricing?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2015

2. Measuring Ambiguity Aversion
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2013

3. Generalized Method of Moments with Latent Variables
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (5)

2012

4. 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
   Also in Econometrics, University Library of Munich, Germany (1997) View citations (18)
   See also Journal Article A single-blind controlled competition among tests for nonlinearity and chaos, Journal of Econometrics, Elsevier (1997) View citations (130) (1997)
5. Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
   Working Papers, Duke University, Department of Economics

2010

6. Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry
   Working Papers, Duke University, Department of Economics View citations (4)
7. Habit, Long-Run Risks, Prospect? A Statistical Inquiry
   Working Papers, Duke University, Department of Economics
8. Sign switching behavior of cross-county interest rate correlations: Theory and Evidence
   Working Papers, Duke University, Department of Economics
9. 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
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (6)
   Working Papers, Duke University, Department of Economics (2010)
   See also Journal Article Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (52) (2011)

2008

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

2007

11. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (76)
    See also Journal Article Rational Pessimism, Rational Exuberance, and Asset Pricing Models, The Review of Economic Studies, Review of Economic Studies Ltd (2007) View citations (79) (2007)

2002

12. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (24)
    See also Journal Article Alternative models for stock price dynamics, Journal of Econometrics, Elsevier (2003) View citations (443) (2003)
13. Efficient Method of Moments
    Working Papers, Duke University, Department of Economics View citations (3)
14. Simulated Score Methods and Indirect Inference for Continuous-time Models
    Working Papers, Duke University, Department of Economics View citations (11)

2000

15. Cross Validated SNP Density Estimates
    Working Papers, Duke University, Department of Economics View citations (2)
    See also Journal Article Cross-validated SNP density estimates, Journal of Econometrics, Elsevier (2002) View citations (20) (2002)
16. Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
    Working Papers, Duke University, Department of Economics View citations (2)
    See also Journal Article Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance, The Review of Economics and Statistics, MIT Press (1999) View citations (159) (1999)

1999

17. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (32)

1997

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

1996

19. Comments on Calibration
    Working Papers, Duke University, Department of Economics
20. Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square
    Working Papers, Duke University, Department of Economics View citations (3)
21. Qualitative and Asymptotic Performance of SNP Density Estimators
    Working Papers, Duke University, Department of Economics View citations (42)
    See also Journal Article Qualitative and asymptotic performance of SNP density estimators, Journal of Econometrics, Elsevier (1996) View citations (53) (1996)
22. The Nonlinear Mixed Effects Model with a Smooth Random Effects Density
    Working Papers, Duke University, Department of Economics

1995

23. EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide
    Working Papers, Duke University, Department of Economics
24. Estimation of Continuous Time Models for Stock Returns and Interest Rates
    Working Papers, Duke University, Department of Economics View citations (11)
    See also Journal Article ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES, Macroeconomic Dynamics, Cambridge University Press (1997) View citations (34) (1997)
25. Estimation of Stochastic Volatility Models with Diagnostics
    Working Papers, Duke University, Department of Economics View citations (12)
    See also Journal Article Estimation of stochastic volatility models with diagnostics, Journal of Econometrics, Elsevier (1997) View citations (149) (1997)
26. SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide
    Working Papers, Duke University, Department of Economics View citations (2)
27. Specification Analysis of Continuous Time Models in Finance
    Working Papers, Duke University, Department of Economics
28. Which Moments to Match
    Working Papers, Duke University, Department of Economics View citations (20)
    See also Journal Article Which Moments to Match?, Econometric Theory, Cambridge University Press (1996) View citations (573) (1996)

1988

29. ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83
    Working Papers, Chicago - Graduate School of Business View citations (2)
30. SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS
    Working Papers, Chicago - Graduate School of Business View citations (6)
    See also Journal Article Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, Econometric Society (1989) View citations (188) (1989)

1982

31. Imposing Curvature Restrictions on Flexible Functional Forms
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
    See also Journal Article Imposing curvature restrictions on flexible functional forms, Journal of Econometrics, Elsevier (1984) View citations (87) (1984)

Undated

32. Reproducing Partial Observed Systems with Application to Interest Rate Diffusions
    Computing in Economics and Finance 1997, Society for Computational Economics View citations (78)
33. 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 View citations (52)
   See also Working Paper Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors, PIER Working Paper Archive (2010) (2010)

2009

2. On the Determination of General Scientific Models With Application to Asset Pricing
   Journal of the American Statistical Association, 2009, 104, (485), 117-131 View citations (9)

2008

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

2007

4. Comment
   Journal of Business & Economic Statistics, 2007, 25, 151-152
5. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
   The Review of Economic Studies, 2007, 74, (4), 1005-1033 View citations (79)
   See also Working Paper Rational Pessimism, Rational Exuberance, and Asset Pricing Models, NBER Working Papers (2007) View citations (76) (2007)

2003

6. Alternative models for stock price dynamics
   Journal of Econometrics, 2003, 116, (1-2), 225-257 View citations (443)
   See also Working Paper Alternative Models for Stock Price Dynamic, Working Papers (2002) View citations (43) (2002)
7. Purebred or hybrid?: Reproducing the volatility in term structure dynamics
   Journal of Econometrics, 2003, 116, (1-2), 147-180 View citations (15)

2002

8. Cross-validated SNP density estimates
   Journal of Econometrics, 2002, 110, (1), 27-65 View citations (20)
   See also Working Paper Cross Validated SNP Density Estimates, Working Papers (2000) View citations (2) (2000)
9. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
   Journal of Business & Economic Statistics, 2002, 20, (3), 297-316 View citations (122)
10. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply
    Journal of Business & Economic Statistics, 2002, 20, (3), 335-38 View citations (114)

2000

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

1999

12. The relative efficiency of method of moments estimators1
    Journal of Econometrics, 1999, 92, (1), 149-172 View citations (29)
13. 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 View citations (159)
    See also Working Paper Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance, Working Papers (2000) View citations (2) (2000)

1997

14. A single-blind controlled competition among tests for nonlinearity and chaos
    Journal of Econometrics, 1997, 82, (1), 157-192 View citations (130)
    See also Working Paper A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2012) (2012)
15. ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
    Macroeconomic Dynamics, 1997, 1, (1), 135-168 View citations (34)
    See also Working Paper Estimation of Continuous Time Models for Stock Returns and Interest Rates, Working Papers (1995) View citations (11) (1995)
16. Estimation of stochastic volatility models with diagnostics
    Journal of Econometrics, 1997, 81, (1), 159-192 View citations (149)
    See also Working Paper Estimation of Stochastic Volatility Models with Diagnostics, Working Papers (1995) View citations (12) (1995)

1996

17. Convergence Rates of SNP Density Estimators
    Econometrica, 1996, 64, (3), 719-27 View citations (23)
18. Erratum [Convergence Rates of SNP Density Estimators]
    Econometrica, 1996, 64, (6), 1493 View citations (15)
19. Qualitative and asymptotic performance of SNP density estimators
    Journal of Econometrics, 1996, 74, (1), 77-118 View citations (53)
    See also Working Paper Qualitative and Asymptotic Performance of SNP Density Estimators, Working Papers (1996) View citations (42) (1996)
20. Which Moments to Match?
    Econometric Theory, 1996, 12, (4), 657-681 View citations (573)
    See also Working Paper Which Moments to Match, Working Papers (1995) View citations (20) (1995)

1995

21. Nonparametric estimation of structural models for high-frequency currency market data
    Journal of Econometrics, 1995, 66, (1-2), 251-287 View citations (72)
22. Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
    Journal of Economic Behavior & Organization, 1995, 27, (2), 301-320 View citations (48)

1993

23. Nonlinear Dynamic Structures
    Econometrica, 1993, 61, (4), 871-907 View citations (305)

1992

24. Stock Prices and Volume
    The Review of Financial Studies, 1992, 5, (2), 199-242 View citations (590)

1991

25. Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality
    Econometric Theory, 1991, 7, (3), 307-340 View citations (42)
26. On the asymptotic normality of Fourier flexible form estimates
    Journal of Econometrics, 1991, 50, (3), 329-353 View citations (73)

1990

27. 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 View citations (70)

1989

28. Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
    Econometrica, 1989, 57, (5), 1091-1120 View citations (188)
    See also Working Paper SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS, Working Papers (1988) View citations (6) (1988)

1987

29. Semi-nonparametric Maximum Likelihood Estimation
    Econometrica, 1987, 55, (2), 363-90 View citations (401)

1985

30. Editor's introduction
    Journal of Econometrics, 1985, 30, (1-2), 1-1
31. Estimating substitution elasticities with the Fourier cost function: Some Monte Carlo results
    Journal of Econometrics, 1985, 28, (2), 205-222 View citations (41)
32. Explicitly infinite-dimensional Bayesian analysis of production technologies
    Journal of Econometrics, 1985, 30, (1-2), 171-201 View citations (1)

1984

33. Costs and benefits of peak-load pricing of electricity: A continuous-time econometric approach
    Journal of Econometrics, 1984, 26, (1-2), 83-113 View citations (8)
34. Imposing curvature restrictions on flexible functional forms
    Journal of Econometrics, 1984, 26, (3), 295-321 View citations (87)
    See also Working Paper Imposing Curvature Restrictions on Flexible Functional Forms, Discussion Papers (1982) (1982)

1983

35. An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form
    Econometrica, 1983, 51, (6), 1731-51 View citations (39)
36. 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 View citations (2)

1982

37. Unbiased determination of production technologies
    Journal of Econometrics, 1982, 20, (2), 285-323 View citations (148)

1981

38. On the bias in flexible functional forms and an essentially unbiased form: The fourier flexible form
    Journal of Econometrics, 1981, 15, (2), 211-245 View citations (456)

1980

39. Computations for constrained linear models
    Journal of Econometrics, 1980, 12, (1), 59-84
40. Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation
    Econometrica, 1980, 48, (3), 697-720 View citations (25)

1979

41. 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 View citations (121)

1977

42. Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations
    Journal of Econometrics, 1977, 5, (1), 71-88 View citations (37)

1975

43. Diffuse Decision-Making in Hierarchical Organizations: An Empirical Examination
    Management Science, 1975, 21, (6), 697-707
44. Seemingly unrelated nonlinear regressions
    Journal of Econometrics, 1975, 3, (1), 35-50 View citations (53)

Edited books

1997

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

Editor

1. Journal of Econometrics
   Elsevier