Approximate maximum likelihood for complex structural models

DOI10.1016/j.jeconom.2021.05.009OpenAlexW3167866752MaRDI QIDQ2106374

Eric Renault, David T. Frazier, Veronika Czellar

Publication date: 14 December 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.10245

zbMATH Keywords

indirect inferenceconstrained inferenceequality restrictionsgeneralized TobitMarkov-switching multifractal models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Asymptotic Statistics
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• Forecasting multifractal volatility

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