ARTICLES
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Gallant, A. R. (1968),
"A Note on the Measurement of Cost/Quantity Relationships
in the Aircraft Industry,"
Journal of the American Statistical Association 63, 1247-1252.
Abstract
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Gallant, A. R., and Wayne A. Fuller (1973),
"Fitting Segmented Polynomial Regression Models Whose Join
Points Have To Be Estimated,"
Journal of the American Statistical Association 68, 144-147.
Abstract
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Gallant, A. R., Thomas M. Gerig, and J. W. Evans (1974),
"Time Series Realizations Obtained According to an Experimental Design,"
Journal of the American Statistical Association 69, 639-645.
Abstract
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Shumway, C. R., P. M. Maber, N. R. Baker, W. E. Sonder, A. H. Rubenstein,
and A. R. Gallant (1975),
"Diffuse Decision Making in Hierarchical Organizations:
An Empirical Examination,"
Management Science 21, 697-707.
Abstract
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Gallant, A. R. (1975),
"The Power of the Likelihood Ratio Test of Location in
Nonlinear Regression Models",
Journal of the American Statistical Association 70, 198-203.
Abstract
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Gerig, Thomas M., and A. Ronald Gallant (1975),
"Computing Methods for Constrained Linear Models",
Journal of Statistical Computation and Simulation 3, 283-296.
Abstract
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Gallant, A. Ronald (1975),
"Seemingly Unrelated Nonlinear Regression Models",
Journal of Econometrics 3, 35-50.
Abstract
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Gallant, A. R. (1975),
"Nonlinear Regression",
The American Statistician 29, 73-81.
Abstract
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Gallant, A. R. (1975),
"Testing a Subset of the Parameters of a Nonlinear Regression Model",
Journal of the American Statistical Association 70, 927-932.
Abstract
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Chao, Nelson P. C., John A. Cuculo, A. Ronald Gallant,
and T. Waller George (1975),
"A Statistical Method for Determining the Glass Transition Temperature
from Dilatometric Data,"
Applied Polymer Symposium 27, 193-204.
Abstract
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Gallant, A. Ronald, and J. Jeffery Goebel (1976),
"Nonlinear Regression with Auto-correlated Errors,"
Journal of the American Statistical Association 71, 961-967.
Abstract
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Gallant, A. Ronald (1977),
"Three Stage Least Squares Estimation for a System of Simultaneous,
Nonlinear, Implicit Equations,"
Journal of Econometrics 5, 71-88.
Abstract
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Gallant, A. Ronald (1977),
"Testing a Nonlinear Regression Specification: A Nonregular Case,"
Journal of the American Statistical Association 72, 523-530.
Abstract
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Gallant, A. Ronald, and Dale W. Jorgenson (1979),
"Statistical Inference for a System of Simultaneous, Nonlinear,
Implicit Equations in the Context of Instrumental Variable Estimation,"
Journal of Econometrics 11, 275-302.
Abstract
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Gallant, A. Ronald, and Thomas M. Gerig (1980),
"Computations for Constrained Linear Models,"
Journal of Econometrics 12, 59-84.
Abstract
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Gallant, A. Ronald, and Alberto Holly (1980),
"Statistical Inference in an Implicit Nonlinear, Simultaneous Equation
Model in the Context of Maximum Likelihood Estimation,"
Econometrica 48, 697-720.
Abstract
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Gallant, A. Ronald (1980),
"Explicit Estimators of Parametric Functions in Nonlinear Regression,"
Journal of the American Statistical Association 75, 182-193.
Abstract
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Gallant, A. Ronald (1981),
"On the Bias in Flexible Functional Forms and an
Essentially Unbiased Form: The Fourier Flexible Form,"
Journal of Econometrics 15, 211-245.
Abstract
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Burguete, Jose F., A. Ronald Gallant, and Geraldo Souza (1982),
"On Unification of the Asymptotic Theory of Nonlinear Econometric
Models,"
Econometric Reviews 1, 151-190.
Abstract
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Gallant, A. Ronald (1982),
"Unbiased Determination of Production Technologies,"
Journal of Econometrics 20, 285-323.
Abstract
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Aguirre-Torres, Victor, and A. Ronald Gallant (1983),
"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 21, 5-33.
Abstract
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Elbadawi, Ibrahim, A. Ronald Gallant, and Geraldo Souza (1983),
"An Elasticity Can be Estimated Consistently Without A Priori
Knowledge of Functional Form,"
Econometrica 51, 1731-1752.
Abstract
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Gallant, A. Ronald, and Roger W. Koenker (1984),
"Costs and Benefits of Peak-Load Pricing of Electricity: A
Continuous-Time Econometric Approach,"
Journal of Econometrics 26, 83-114.
Abstract
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Gallant, A. Ronald (1984),
"The Fourier Flexible Form,"
American Journal of Agricultural Economics 66, 204-208.
Abstract
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Gallant, A. Ronald, and Gene H. Golub (1984),
"Imposing Curvature Restrictions on Flexible Functional Forms,"
Journal of Econometrics 26, 295-322.
Abstract
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Chalfant, James A., and A. Ronald Gallant (1985),
"Estimating Substitution Elasticities with the Fourier Cost Function:
Some Monte Carlo Results,"
Journal of Econometrics 28, 205-222.
Abstract
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Gallant, A. Ronald, and John F. Monahan (1985),
"Explicitly Infinite Dimensional Bayesian Analysis of Production
Technologies,"
Journal of Econometrics 30, 171-201.
Reprinted in
Barnett, William A., and A. Ronald Gallant, eds. (1990),
New Approaches to Modeling, Specification Selection, and
Econometric Inference, Proceedings of the First International
Symposium in Economic Theory and Econometrics,
Cambridge University Press, Cambridge UK, 171-201.
Abstract
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Gallant, A. Ronald (1987),
"Identification and Consistency in Seminonparametric Regression,"
in
Bewley, Truman F., ed. (1987),
Advances in Econometrics Fifth World Congress, Volume 1,
Cambridge University Press, New York, 145-170.
Translated as
Gallant, A. Ronald (1985),
"Identification et Convergence en Regression Semi-Nonparametrique,"
Annals de l'INSEE 59/60, 239-267.
Abstract
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Gallant, A. Ronald, and Douglas W. Nychka (1987),
"Semi-Nonparametric Maximum Likelihood Estimation,"
Econometrica 55, 363-390.
Abstract
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Gallant, A. Ronald (1987),
"Nonlinear Methods in Econometrics,"
in
Eatwell, John, Murray Milgate, and Peter Newman, eds. (1987),
The New Palgrave,
Stockton Press, New York, Vol. 3 (K-P), 663-666.
Reprinted in
Eatwell, John, Murray Milgate, and Peter Newman, eds. (1990),
Econometrics,
The Macmillan Press, London, 160-166.
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Gallant, A. Ronald, and Halbert L. White Jr. (1988),
"There Exists a Neural Network That Does Not Make Avoidable Mistakes,"
Proceedings of the Second Annual IEEE Conference on Neural Networks,
IEEE Press, New York, I:657-664.
Revised and reprinted in
White Jr., Halbert L. (1992),
Artificial Neural Networks,
Blackwell, Oxford UK, 5-11.
Abstract
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Aguirre-Torres, Victor, A. R. Gallant, and Jorge Cominguez (1989),
"On Choosing Between Two Nonlinear Models Estimated Robustly: Some
Monte Carlo Evidence,"
Communications in Statistics, Simulation and Computation 18, 179-200.
Abstract
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Gallant, A. Ronald, and George Tauchen (1989),
"Seminonparametric Estimation of Conditionally Constrained
Heterogeneous Processes: Asset Pricing Applications,"
Econometrica 57, 1091-1120.
Abstract
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Gallant, A. Ronald, Lars Peter Hansen, and George E. Tauchen (1990),
"Using Conditional Moments of Asset Payoffs to Infer the Volatility of
Intertemporal Marginal Rates of Substitution,"
Journal of Econometrics, 45, 141-180.
Abstract
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Nychka, Douglas W., Stephen P. Ellner, Daniel F. McCaffrey,
and A. Ronald Gallant (1990),
"Statistics for Chaos,"
Statistical Computing and Statistical Graphics Newsletter 1, 4-11.
Abstract
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Gallant, A. Ronald, David A. Hsieh, and George E. Tauchen (1991),
"On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate,
1974-83,"
in
Barnett, William A., James Powell, and George E. Tauchen, eds. (1991),
Nonparametric and Semiparametric Methods in Econometrics and
Statistics, Proceedings of the Fifth International Symposium in
Economic Theory and Econometrics,
Cambridge University Press, Cambridge, Chapter 8, 199-240.
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Gallant, A. Ronald, and Geraldo Souza (1991),
"On the Asymptotic Normality of Fourier Flexible Form Estimates,"
Journal of Econometrics 50, 329-353.
Abstract
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Eastwood, Brian J., and A. Ronald Gallant (1991),
"Adaptive Rules for Seminonparametric Estimators That Achieve
Asymptotic Normality,"
Econometric Theory 7, 307-340.
Abstract
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Gallant, A. Ronald (1991),
"Comment on B. Potscher and I. Prucha `Basic Structure of the
Asymptotic Theory in Dynamic Nonlinear Econometric Models' "
Econometric Reviews 10, 333-335.
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Ellner, Stephen P., A. Ronald Gallant, Daniel F. McCaffrey, and Douglas W.
Nychka (1991),
"Convergence Rates and Data Requirements for Jacobian-based Estimates
of Lyapunov Exponents from Data,"
Physics Letters A 153, 357-363.
Abstract
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Gallant, A. Ronald, and George Tauchen (1992),
"A Nonparametric Approach to Nonlinear Time Series Analysis:
Estimation and Simulation,"
in
Brillinger, David, Peter Caines, John Geweke, Emanuel Parzen, Murray
Rosenblatt, and Murad S. Taqqu eds. (1992),
New Directions in Time Series Analysis, Part II.
Springer-Verlag, New York, 71-92.
Abstract
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Gallant, A. Ronald and Halbert L. White Jr. (1992)
"On Learning the Derivatives of an Unknown Mapping with Multilayer
Feedforward Networks,"
Neural Networks 5, 129-138.
Revised and reprinted in
White Jr., Halbert L. (1992),
Artificial Neural Networks,
Blackwell, Oxford UK, 206-223.
Abstract
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McCaffrey, Daniel F., Stephen P. Ellner, A. Ronald Gallant, and Douglas
W. Nychka (1992),
"Estimating the Lyapunov Exponent of a Chaotic System with
Nonparametric Regression,"
Journal of the American Statistical Association 87, 682-695.
Abstract
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Gallant, A. Ronald, Peter E. Rossi, and George E. Tauchen (1992),
"Stock Prices and Volume,"
The Review of Financial Studies 5, 199-242.
Abstract
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Nychka, Douglas W., Stephen P. Ellner, A. Ronald Gallant, and Daniel
F. McCaffrey (1992),
"Finding Chaos in Noisy Systems,"
Journal of the Royal Statistical Society B 54, 399-426.
Abstract
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Davidian, Marie, and A. Ronald Gallant (1992),
"Smooth Nonparametric Maximum Likelihood Estimation for Population
Pharmacokinetics, with Application to Quinidine,"
Journal of Pharmacokinetics and Biopharmaceutics 20, 529-556.
Abstract
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Davidian, Marie, and A. Ronald Gallant (1993),
"The Nonlinear Mixed Effects Model with a Smooth Random Effects
Density,"
Biometrika 80, 475-488.
Abstract
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Gallant, A. Ronald, Peter E. Rossi, and George E. Tauchen (1993),
"Nonlinear Dynamic Structures,"
Econometrica 61, 871-907.
Abstract
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Bansal, Ravi, A. Ronald Gallant, Robert Hussey, and George Tauchen (1993),
"Computational Aspects of Nonparametric Simulation Estimation,"
in
Belsley, David A., ed. (1993),
Computational Techniques for Econometrics and Economic Analysis,
Kluwer Academic Publishers, Boston, 3-22.
Abstract
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McCaffrey, Daniel F., and A. Ronald Gallant (1994),
"Convergence Rates for Single Hidden Layer Feedforward Networks,"
Neural Networks 7, 147-158.
Abstract
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Bansal, Ravi, A. Ronald Gallant, Robert Hussey, and George Tauchen (1994),
"Nonparametric Estimation of Structural Models for High-Frequency
Currency Market Data,"
Journal of Econometrics 66, 251-287.
Abstract
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Ellner, Stephen P., A. Ronald Gallant, and James Theiler (1995),
"Detecting Nonlinearity and Chaos in Epidemic Data,"
in
Mollison, Dennis, ed. (1995),
Epidemic Models: Their Structure and Relation to Data,
Cambridge University Press, Cambridge, UK, 229-247.
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Barnett, William A., A. Ronald Gallant, Melvin J. Hinich, Jochen A.
Jungeilges, Daniel T. Kaplan, and Mark J. Jensen (1995),
"Robustness of Nonlinearity and Chaos Tests to Measurement Error,
Inference Method, and Sample Size,"
Journal of Economic Behavior and Organization 27, 301-320.
Abstract
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Barnett, William A., A. Ronald Gallant, Melvin J. Hinich,
and Jochen A. Jungeilges (1996),
"Comparisons of the Available Tests for Nonlinearity and Chaos,"
in
Barnett, William A., Giancarlo Gandolfo, and Claude Hillinger eds. (1996),
Dynamic Disequilibrium Modeling: Theory and Applications,
Cambridge University Press, Cambridge, 313-346.
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Barnett, William A., A. Ronald Gallant, Melvin J. Hinich,
Jochen A. Jungeiles, Daniel T. Kaplan, and Mark J. Jensen (1996),
"An Experimental Design to Compare Tests of Nonlinearity and Chaos,"
in
Barnett, William A., Alan P. Kirman, and Mark Salmon, eds. (1996),
Nonlinear Dynamics and Economics,
Cambridge University Press, Cambridge, 163-190.
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Fenton, Victor M., and A. Ronald Gallant (1996),
"Convergence Rates of SNP Density Estimators,"
Econometrica 64, 719-727.
Abstract
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Fenton, Victor M., and A. Ronald Gallant (1996),
"Qualitative and Asymptotic Performance of SNP Density Estimators,"
Journal of Econometrics 74, 77-118.
Abstract
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Gallant, A. Ronald, and George Tauchen (1996),
"Which Moments to Match?,"
Econometric Theory 12, 657-681.
Abstract
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Gallant, A. Ronald, and George Tauchen (1996),
"Specification Analysis of Continuous Time Models in Finance,"
in
Rossi, Peter, ed. (1996)
Modeling Stock Market Volatility:
Bridging the Gap to Continuous Time,
Academic Press, New York, 357-384.
Abstract
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Gallant, A. Ronald, David Hsieh, George Tauchen (1997),
"Estimation of Stochastic Volatility Models with Diagnostics,"
Journal of Econometrics 81, 159-192.
Abstract
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Gallant, A. Ronald, and Jonathan R. Long (1997),
"Estimating Stochastic Differential Equations Efficiently
by Minimum Chi-Squared,"
Biometrika 84, 125-141.
Abstract
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Gallant, A. Ronald, and George Tauchen (1997),
"Estimation of Continuous Time Models for Stock Returns and Interest Rates"
Macroeconomic Dynamics 1, 135-168.
Abstract
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Barnett, William A., A. Ronald Gallant, Melvin J. Hinich, Jochen A.
Jungeilges, Daniel T. Kaplan, and Mark J. Jensen (1998), "A Single-Blind
Controlled Competition Among Tests for Nonlinearity and Chaos,"
Journal of Econometrics 82, 157-192.
Abstract
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Gallant, A. Ronald, and George Tauchen (1998),
"Reprojecting Partially Observed Systems
with Application to Interest Rate Diffusions,"
Journal of the American Statistical Association 93, 10-24.
Abstract
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Ellner, S. P., B. A. Bailey, G. V. Bobashev, A. R. Gallant, B. T.
Grenfell, and D. W. Nychka (1998),
"Noise and Nonlinearity in Measles Epidemics: Combining Mechanistic
and Statistical Approaches to Population Modeling,"
The American Naturalist 151, 425-440.
Abstract
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Gallant, A. Ronald, and George Tauchen (1999),
"The Relative Efficiency of Method of Moments Estimators,"
Journal of Econometrics 92, 149-172.
Abstract
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Gallant, A. Ronald, Chien-Te Hsu, and George Tauchen (1999)
"Using Daily Range Data to Calibrate Volatility Diffusions
and Extract the Forward Integrated Variance"
The Review of Economics and Statistics, 81(4), 617-631.
Abstract
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Fleissig, Adrian R., A. Ronald Gallant, and John J. Seater (2000),
"Separability, Aggregation, and Euler Equation Estimation,"
Macroeconomic Dynamics 4, 547-572.
Abstract
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Aguirre-Torres, Victor, and A. Ronald Gallant (2001),
"Testing Separate Dynamic Nonlinear Econometric Models"
in
G.I Schueler and P.D. Spanos (eds) (2001),
Monte Carlo Simulation
A. A. Balkema, Rotterdam, 423-430.
Abstract
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Ahn, Dong-Hyun, Robert F. Dittmar, and A. Ronald Gallant (2002),
"Quadratic Term Structure Models: Theory and Evidence,"
The Review of Financial Studies 15. 243-288.
Abstract
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Durham, Garland B., and A. Ronald Gallant (2002),
"Numerical Techniques for Maximum Likelihood Estimation of
Continuous-Time Diffusion Processes,"
The Journal of Business and Economic Statistics 20, 297-316.
Abstract
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Coppejans, Mark, and A. Ronald Gallant (2002),
"Cross-Validated SNP Density Estimates,"
Journal of Econometrics 110, 27-65.
Abstract
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Ahn, Dong-Hyun, Robert F. Dittmar, A. Ronald Gallant, and Bin Gao (2003),
"Purebred or Hybrid?: Reproducing the Volatility in Term Structure
Dynamics,"
Journal of Econometrics 116 147-180.
Abstract
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Chernov, Mikhail, A. Ronald Gallant, Eric Ghysels, and George Tauchen (2003),
"Alternative Models for Stock Price Dynamics,"
Journal of Econometrics 116, 225-257.
Abstract
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Bansal, Ravi, A. Ronald Gallant, and George Tauchen (2007),
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models,"
Review of Economic Studies 74, 1005-1033.
Abstract
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Gallant, A. Ronald and Han Hong (2007),
"A Statistical Inquiry into the Plausibility of Recursive Utility,"
Journal of Financial Econometrics 5, 523-559.
Abstract
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Gallant, A. Ronald (2007),
"Comment" on the JBES Invited Paper entitled "On the Fit of
New-Keynseian Models, authored by Marco Del Negro, Frank Schorfheide,
Frank Smets, and Raf Wouters.
Journal of Business and Economic Statistics 25. 151--152.
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Gallant, A. Ronald (2008),
"SNP: Nonparametric Time Series Analysis,"
in
Blume, Larry, and Steven Durlauf, eds. (2008),
The New Palgrave, 2nd edition,
Palgrave Macmillan Ltd., Houndmills, UK.
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Gallant, A. Ronald, and Robert E. McCulloch (2009),
"On the Determination of General Scientific Models
with Application to Asset Pricing,"
Journal of the American Statistical Association 104, 117--131.
Abstract
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Cheng, Ai-ru (Meg), A. Ronald Gallant, Chuanshu Ji, and Beom S. Lee (2009),
"A Gaussian Approximation Scheme for Computation
of Option Prices in Stochastic Volatility Models,"
Journal of Econometrics, 146, 44--58.
Abstract
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Gallant, A. Ronald, and George Tauchen (2010),
"Simulated Score Methods and Indirect Inference for Continuous-time
Models,"
in
Yacine Ait-Sahalia and Lars Peter Hansen, eds. (2010),
Handbook of Financial Econometrics, Volume 1 -- Tools and
Techniques,
Elsevier/North-Holland, Amsterdam, 427--478.
Abstract
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Aldrich, Eric M., Jesus Fernandez-Villaverde,
A. Ronald Gallant, and Juan F. Rubio-Ramirez (2011),
"Tapping the Supercomputer Under Your Desk: Solving Dynamic
Equilibrium Models with Graphics Processors,"
Journal of Economic Dynamics and Control 35, 386--393.
Abstract
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Aldrich, Eric M., and A. Ronald Gallant (2011),
"Habit, Long-Run Risks, Prospect? A Statistical Inquiry,"
Journal of Financial Econometrics 9, 589--618.
Abstract
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Gallant, A. Ronald (2015)
"Reflections on the Probability Space Induced by Moment Conditions
with Implications for Bayesian Inference,"
Journal of Financial Econometrics 14, 229--247.
Abstract
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Gallant, A. Ronald (2015)
"Reply to Comment on Reflections,"
Journal of Financial Econometrics 14, 284--294.
Abstract
Gallant, A. Ronald, Han Hong, and Ahmed Khwaja (2016)
"The Dynamic Spillovers of Entry: An Application to the Generic Drug Industry"
Management Science 64, 983--1476.
Abstract
Gallant, A. Ronald, A. Ronald Gallant, Raffaella Giacomini, and Giuseppe
Ragusa (2017)
"Bayesian Estimation of State Space Models Using Moment Conditions"
Journal of Econometrics 201, 198--211.
Abstract
Gallant, A. Ronald, Han Hong, and Ahmed Khwaja (2017)
"A Bayesian Approach to Estimation of Dynamic Models with Small and Large
Number of Heterogeneous Players and Latent Serially Correlated States"
Journal of Econometrics 203, 19--32.
Abstract
Gallant, A. Ronald, George Tauchen (2017)
"Exact Bayesian Moment Based Inference for the Distribution of the
Small-Time Movements of an Ito Semimartingale"
Journal of Econometrics 201, 140--155.
Abstract
Gallant, A. Ronald, Mohammad R. Jahan-Parvar, and Hening Liu (2018)
"Does Smooth Ambiguity Matter for Asset Pricing?"
Review of Financial Studies 32, 3617--3666..
Abstract
Gallant, A. Ronald (2020),
"Complementary Bayesian Method of Moments Strategies,''
The Journal of Applied Econometrics 35, 422--439.
Gallant, A. Ronald, Han Hong, Michael P. Leung, Jessie Li (2022),
"Constrained Estimation Using Penalization and MCMC,''
Journal of Econometrics 228, 85--106.
Gallant, A. Ronald (2022),
"Nonparametric Bayes Subject to Overidentified Moment Conditions,''
Journal of Econometrics 228, 27--38.
Abstract
Gallant, A. Ronald, and George Tauchen (2021),
"Cash Flows Discounted Using a Model Free SDF Extracted under a Yield
Curve Prior,''
Journal of Risk and Financial Management 14, 1--15,
https://doi.org/10.3390/jrfm14030100