Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

DOI10.1016/j.jeconom.2022.02.010OpenAlexW3099436521WikidataQ114161720 ScholiaQ114161720MaRDI QIDQ6108270

Gabriele Fiorentini, Enrique Sentana

Publication date: 29 June 2023

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

Full work available at URL: https://www.cemfi.es/ftp/wp/2023.pdf

zbMATH Keywords

consistency structural models efficiency bound finite normal mixtures pseudo maximum likelihood estimators volatility indices

Mathematics Subject Classification ID

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

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