The PCSE Estimator is Good -- Just Not As Good As You Think
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Publication:4928524
DOI10.2202/1941-1928.1032zbMath1266.62070OpenAlexW1608131405MaRDI QIDQ4928524
Publication date: 14 June 2013
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10092/5470
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)
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