8 problems

In the fractional stochastic volatility model, let the parameter vector be $\theta=(\xi,\lambda,\nu,H)$, and let $g^{(2)}_{0}(\theta)$ and $g_{\ell}(\theta)$, for…

Let $\beta_0$ denote the parameter vector in the linear GMM model, and consider a subvector of $\beta_0$ whose dimension increases slowly with the sample size. Joint inference conj…

Alternative quasi-likelihood conjecture. Similar Bayesian asymptotic properties for model selection should be derivable for these alternative quasi-likelihoods.

Higher-order mismatch conjecture. In general, the higher-order terms of $q(\theta \mid \boldsymbol{D})$ and $p(\theta \mid \hat \theta)$ do not match each other.

Extra-term removal conjecture. The additional term could be removed by imposing stronger assumptions on the density $p(\hat \theta \mid \theta)$ or on the normalized density…

LIL approximation conjecture. The LIL $q(\boldsymbol{D} \mid \theta)$ should approximate the density $p(\hat \theta \mid \theta)$ of $\hat \theta$.

Identifiability and consistency conjecture. For reasonably large $m$, the model is identifiable, and consequently the GMM estimators are consistent.

GMM bias-correction conjecture. The same asymptotic equivalence result should apply to GMM estimators.