A smooth likelihood simulator for dynamic disequilibrium models

DOI10.1016/S0304-4076(96)00013-9MaRDI QIDQ1362499zbMATH OpenFDO

Authors Lung-fei Lee

Publication date 12 August 1997

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

Full work available at URL https://doi.org/10.1016/S0304-4076(96)00013-9

zbMATH Keywords

Monte Carlo experimentsdynamic disequilibrium modelmaximum simulated likelihood estimatorregime classificationsmooth likelihood simulator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• scientific article; zbMATH DE number 3793969 (Why is no real title available?)
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• Econometrics
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Estimation in a disequilibrium model and the value of information
• Maximum Likelihood Methods for Models of Markets in Disequilibrium
• Methods of Estimation for Markets in Disequilibrium: A Further Study
• Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal
• On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
• Patents as Options: Some Estimates of the Value of Holding European Patent Stocks
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Simulation-based inference. A survey with special reference to panel data models
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• The likelihood function and a test for serial correlation in a disequilibrium market model

Cited in

(4)

• Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Convergence Properties of the Likelihood of Computed Dynamic Models

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