Approximate maximum likelihood for complex structural models

DOI10.1016/J.JECONOM.2021.05.009MaRDI QIDQ2106374zbMATH OpenOpenAlexFDO

Authors Veronika Czellar, David T. Frazier, Eric Renault

Publication date 14 December 2022

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

Full work available at URL https://arxiv.org/abs/2006.10245

zbMATH Keywords

constrained inferenceequality restrictionsgeneralized Tobitindirect inferenceMarkov-switching multifractal models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Markov-switching multifractal inter-trade duration model, with application to US equities
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• Indirect inference with a non-smooth criterion function
• Indirect inference with(out) constraints
• Large Sample Properties of Generalized Method of Moments Estimators
• On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
• Probit with Dependent Observations
• Pseudo Maximum Likelihood Methods: Theory
• Simulated minimum distance estimation of dynamic models with errors-in-variables
• Through the looking glass: indirect inference via simple equilibria

Cited in

(4)

• Structural model correlation using large admissible perturbations incognate space
• Likelihood-free stochastic approximation EM for inference in complex models
• Maximizing Complex Likelihoods via Directed Stochastic Searching Algorithm
• Approximate Selective Inference via Maximum Likelihood

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