Constrained Indirect Estimation

DOI10.1111/0034-6527.00310zbMath1060.62027OpenAlexW2013497110MaRDI QIDQ4663334

Gabriele Fiorentini, Giorgio Calzolari, Enrique Sentana

Publication date: 30 March 2005

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/0034-6527.00310

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Parametric inference under constraints (62F30)

Related Items

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ Estimating the wrapped stable distribution via indirect inference ⋮ Indirect Estimation of α-Stable Distributions and Processes ⋮ A two-step indirect inference approach to estimate the long-run risk asset pricing model ⋮ Penalized indirect inference ⋮ Estimating stable latent factor models by indirect inference ⋮ Discontinuities in indirect estimation: an application to EAR models ⋮ Unobserved component models with asymmetric conditional variances ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ Indirect estimation of elliptical stable distributions ⋮ Estimation of stable distributions by indirect inference ⋮ Implicit Estimation for the Stochastic Volatility Model ⋮ Consistent non-Gaussian pseudo maximum likelihood estimators ⋮ Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models ⋮ On the existence of strongly consistent indirect estimators when the binding function is compact valued ⋮ Estimating large losses in insurance analytics and operational risk using the g-and-h distribution ⋮ Through the looking glass: indirect inference via simple equilibria ⋮ Approximate maximum likelihood for complex structural models ⋮ ON THE ASYMPTOTIC EFFICIENCY OF GMM