Discontinuities in indirect estimation: an application to EAR models
From MaRDI portal
Publication:959300
DOI10.1016/j.csda.2005.03.005zbMath1445.62311OpenAlexW2069405852MaRDI QIDQ959300
Giorgio Calzolari, Francesca Di Iorio
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.03.005
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning, Indirect inference with a non-smooth criterion function
Cites Work
- Estimation of stable distributions by indirect inference
- A global optimization heuristic for estimating agent based models
- Estimating binary multilevel models through indirect inference.
- The relative efficiency of method of moments estimators
- Indirect inference and variance reduction using control variates
- Indirect estimation of stochastic differential equation models: some computational experiments
- Simulation and the Asymptotics of Optimization Estimators
- First-order autoregressive gamma sequences and point processes
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Constrained Indirect Estimation
- Estimating Functions in Indirect Inference
- Maximum quasi‐likelihood estimation for the near(2) model
- ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
- Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
- Control variates for variance reduction in indirect inference: Interest rate models in continuous time
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
