Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties

DOI10.1016/0304-4076(94)90021-3zbMath0807.62094OpenAlexW1555840567MaRDI QIDQ1329129

Guy Laroque, Bernard Salanié

Publication date: 1 March 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90021-3

zbMATH Keywords

consistencyasymptotic normalityimportance samplingasymptotic resultsreviewfull information maximum likelihoodpseudo maximum likelihoodfinite samplessimulation-based inferencecanonical disequilibrium modelFIMLsecond-order PML method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (9)

Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties ⋮ MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm ⋮ Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results ⋮ A smooth likelihood simulator for dynamic disequilibrium models ⋮ An introduction to stochastic unit-root processes ⋮ Semi-parametric estimation of disequilibrium models ⋮ A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD ⋮ Simulation-based inference. A survey with special reference to panel data models ⋮ Maximum score estimation of disequilibrium models and the role of anticipatory price-setting

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