Download or read book Three Essays on Nonstationary Time Series and GMM Estimation written by Jungick Lee and published by . This book was released on 2010 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three essays in this dissertation focus on developing new statistical methodologies to address some issues arising in applied econometrics literature. The first two essays concern issues involving the exponential of an integrated series, while the third essay proposes a GMM-type estimation that is robust to the presence of misspecified moment conditions.