Estimation of SEM with GARCH errors

DOI10.1016/j.csda.2012.03.006zbMath1254.91755OpenAlexW2058306302MaRDI QIDQ1927102

Ilir Roko, Andi Kabili, Jaya Krishnakumar

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:41670

zbMATH Keywords

quasi-maximum likelihoodGMMsimultaneous equationssimulation experimentsGARCH errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09)

Uses Software

• semml

Cites Work

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