Exact small-sample inference in stationary, fully regular, dynamic demand models

DOI10.1016/S0304-4076(99)00066-4MaRDI QIDQ1580339zbMATH OpenFDO

Authors Philippe J. Deschamps

Publication date 13 September 2000

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

Full work available at URL https://doi.org/10.1016/S0304-4076(99)00066-4

zbMATH Keywords

Allais intensitiesexact likelihoodMarkov chain Monte Carlotruncated normalvector autoregressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40) Consumer behavior, demand theory (91B42)

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Cited in

(2)

• Full maximum likelihood estimation of dynamic demand models
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

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