Estimation of dynamic latent variable models using simulated non-parametric moments

DOI10.1111/J.1368-423X.2012.00387.XMaRDI QIDQ5093194zbMATH OpenOpenAlexFDO

Authors Michael Creel, Dennis Kristensen

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2012.00387.x

zbMATH Keywords

dynamic latent variable modelskernel regressionnon-parametric estimationsimulated momentssimulation-based estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(8)

• Simulated minimum distance estimation of dynamic models with errors-in-variables
• Simulated Non-Parametric Estimation of Dynamic Models
• Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function
• Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
• Higher-order properties of approximate estimators
• A Sieve-SMM Estimator for Dynamic Models
• Nonparametric estimation of a latent variable model
• Estimation of dynamic models with nonparametric simulated maximum likelihood

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