Andrew Ronald Gallant

    • 4965 Citations
    • 35 h-Index
    1968 …2018
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    Nonlinear Regression Mathematics
    Estimator Mathematics
    Density Estimator Mathematics
    Nonlinear Regression Model Mathematics
    Volatility Mathematics
    Estimate Mathematics
    Cost Function Mathematics
    Model Mathematics

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    Research Output 1968 2018

    2 Citations (Scopus)
    State variable
    Dynamic games
    Bayesian approach
    Firm heterogeneity
    Product quality

    Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

    Gallant, A. R. & Tauchen, G., Jan 1 2018, (Accepted/In press) In : Journal of Econometrics.

    Research output: Contribution to journalArticle

    Semimartingale
    Inference
    Prediction
    Jump
    Posterior distribution
    5 Citations (Scopus)

    The dynamic spillovers of entry: An application to the generic drug industry

    Gallant, A. R., Hong, H. & Khwaja, A., Mar 1 2018, In : Management Science. 64, 3, p. 1189-1211 23 p.

    Research output: Contribution to journalArticle

    Spillover
    Industry
    Generic drugs
    Costs
    Dynamic games
    3 Citations (Scopus)

    Bayesian estimation of state space models using moment conditions

    Gallant, A. R., Giacomini, R. & Ragusa, G., Dec 1 2017, In : Journal of Econometrics. 201, 2, p. 198-211 14 p.

    Research output: Contribution to journalArticle

    Moment conditions
    Bayesian estimation
    State-space model
    Latent variables
    Time-varying parameters
    7 Citations (Scopus)
    Moment conditions
    Bayesian inference
    Standard error
    US economy
    Student-t distribution